interventions, and stock market volatility, drawing upon an extended time period of one year, to independently test, confirm and … differences and similarities utilizing an asymmetric measure of volatility. We find that there are major differences between these …

Various macroeconomic announcements are known to influence asset price volatility. While contemplating the impact of a … statistically significant impact on the Treasury futures market. The occurrence of an auction, which increases supply in the … underlying cash market, pushes futures prices lower and volatility higher. Conversely, a higher bid-to-cover ratio, which …

reduced annualized volatility of NYSE returns by 90-173bps and increased asset values. Prior to clearing, shocks to overnight …

reduced annualized volatility of NYSE returns by 90-173bps and increased asset values. Prior to clearing, shocks to overnight …

This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 … pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics …, the interlinkages, and the conditional correlations between stock market volatility and the increasing rate of COVID-19 …

of stock market volatility. Among the various macro variables in our dataset the term spread, housing starts, corporate … profits, and the unemployment rate have the highest predictive ability for long-term stock market volatility. While the term … spread and housing starts are leading variables with respect to stock market volatility, for industrial production and the …

We investigate the impact of the French 2012 financial transaction tax on trading activity, volatility, and price … effects. In addition, we consider measures for long-run volatility and first-order autocorrelation that have not been explored … both in line with liquidity clientele effects. Finally, we find weak evidence for a persistent volatility reduction but no …

), allowing for changes in trading volume and volatility expectations, as well as day-of-the-week effects. The results, based a …