describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

We study the volume-volatility relation by splitting volume into the number of trades and the average trade size at … individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of … trades is the most important variable driving realized volatility. The number of trades by the individual investors carries …

The study examines the behavior of stock returns and volatility of returns in CSE around both Presidential and … with return and volatility dummies is employed for estimation. The study produces mixed results as for the abnormal returns … evidence for upward movement of the volatility of returns around both Presidential and Parliamentary elections. Furthermore …

This study examines the impact of terrorism on stock returns and volatility from an econometric perspective. Taking …-varying volatility effect. The attacks are chosen based on the number of civilians killed, whether the attacks are targeted at … attacks and the volatility of stock returns is also significant when all types of attacks are put together, though the results …

This study investigates whether institutional investors increase or decrease the volatility of stock returns in the … SET from 2011 to 2020. We analyze the link between institutional holdings and the volatility of stock returns by the … the stock return volatility on institutional ownership while controlling for firm size, financial leverage, growth …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …