This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … volatility, the least squares dummy variable bias correction (LSDVC) model is employed. The study finds that volatility of …

Financial market volatility is an important element when setting up port- folio management strategies, option pricing … bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects. …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …

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 …

volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships …. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The …