) methodology to daily stock prices of the largest 40 U.S. financial institutions to construct a volatility connectedness index. We …, profitability, asset growth, debt, illiquidity, idiosyncratic volatility and downside beta. They are, however, driven by smaller …

to construct a volatility connectedness index. We then estimate the contemporaneous return sensitivity of every non …, illiquidity, and idiosyncratic volatility. Abnormal returns are asymmetric; they are primarily driven by firms whose returns …