closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search … queries. We find a strong co-movement of stock market indices’ realized volatility and the search queries for their names …. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches …

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search … queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names …. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches …

effects of highs and lows on a stock's beta and return volatility. We find that implied volatilities and stock betas decrease …

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …