This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at … risk in an incomplete market with both directional and volatility risk. We extend this model to multi-periods and show that … the same phenomenon occurs there as well. Two new implications are generated: a volatility level effect and a volatility …

demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is … correlation. This model shows short- and long-term volatility persistence for oil and stock prices, together with spillover …

The oil price volatility index (OPVI) is a direct and more accurate measure of oil price uncertainty. The significance … of the crude oil prices volatility index is used in this paper to examine the effects of crude oil uncertainty on the … (−) fluctuations of the crude oil price volatility index (OPVI). Moreover, the paper measure whether the reform of 2012 stimulated the …

assets do not exhibit the U-shaped intraday volatility pattern that has been documented for US equities, even if only main … trading hours are considered. Intraday spikes in volatility are driven by the open or close of the market for the respective … volatility patterns, and US macroeconomic news account for a sizable fraction of jump-driven volatility. For some -- but not all …

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel … market volatility. Lower expectations concordance produces a stabilizing effect wherein the offsetting views reduce market … volatility. The empirical findings hold for ex post and ex ante measures of volatility and for OLS and GARCH estimates. …

volatility of Nikkei 225 stocks. We conclude that there is a positive relationship between economic policy uncertainty and … idiosyncratic volatility. Employing additional uncertainty measures such as monetary, fiscal, trade, and exchange rate policy, we … find similar positive relationships between these policy uncertainty measures and idiosyncratic volatility except for …