This paper investigates the asymmetric volatility behavior of Nepalese stock market including the spillover effects … from the US and Indian equity markets. We model asymmetric volatility within generalized autoregressive conditional … heteroscedasticity framework using a comprehensive data for Nepal stock market index. The results reveal a very different asymmetry …

The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …

Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …

Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …

use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative …

analysis indicates a significant level of volatility spillover between the Indian stock market and the international stock …

. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … volatility process of the index, using augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results … macroeconomic variables explain the VKOSPI. More importantly, we find that the stock market return and implied volatility index of …