model. Second, we study whether both returns and volatility of bank stock prices changes upon the disclosure of stress tests … in returns and an increase in volatility, while the reverse holds true for banks performing well. Banks performing … correlation between bank abnormal returns or equity volatility and stress test performance, which experiences a steady increase …

post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative …

post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …

stock price volatility, option-based estimates of future volatility, beta, credit default swaps, price — earnings ratios … of financial theory. Measures of volatility and risk premiums today are no lower and perhaps somewhat higher than they …

bid and ask spreads and increased intraday volatility. Moreover, there appears to be no evidence for lasting price support …

The study examines the impact of Global Financial Crisis of 2007 onwards on volatility behavior of Asian stock markets …, Japan, Indonesia and Korea. The results reveal that the Asian stock markets exhibit the persistence of volatility, mean … reverting behavior and volatility clustering. The results of GARCH (1,1) and TARCH with dummy variable in variance equation …

correlation networks. We observe volatility clustering of various forms in the time series of returns and uncover regular …