We examine whether there is a relationship between foreign equity trading and average total volatility, measured as the … participation but also to observe the potential asymmetric effects of incoming and outgoing funds on the average total volatility … with average total volatility. Furthermore, we show that net equity flow affects the average total volatility through the …

in terms of stock returns and stock price volatility. Granger causality tests show the presence of bidirectional … causality for returns as well as volatility series. The results based on a VAR framework indicate a more limited number of short …

This paper examines the regime shifts and stock market volatility in the stock market returns of seven emerging … asset class and each market should be independently evaluated in terms of its regime switching behavior, volatility …

volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile … and negative investor sentiments and stock market returns and volatility. Specifically, an increase in positive investor …. The effect of investor sentiment on volatility is consistent across the distribution: negative sentiment increases …

both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of … degree of financial liberalization impacts aggregated total volatility. We document a negative relation to the degree of …-sized markets. Moreover, the degree of financial liberalization transmits its negative impact on aggregated total volatility through …

and the tests the volatility, as a factor, that may cause the correlations to change over time. Linear regression … the volatilities of individual markets or their relative volatility causes the change in correlations.The results suggest … market index returns, change over time and the variation in correlations is influenced by the volatility of the emerging …

In almost all stages of forecasting volatility, certain subjective decisions need to be made. Despite of an enormous …. In order to find out outperforming model in general not just in the contexts of studies, volatility models should be …, EWMA), GARCH family models (GARCH, GRJ-GARCH, GARCH, APARCH, NAGARCH, FIGARCH) and Stochastic Volatility model. The …