This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …

but an ambiguous effect on volatility. The overall effect on volatility results from the interplay of a benchmarking and a … between the degree of irrationality of the sentiment-driven investors and the stock return's excess volatility, in stark … patterns in stock volatility that cannot be explained in the absence of sentiment. Our results have a number of implications …

institutions predicts higher volatility and greater noise in stock prices, as well as greater fragility at times of crisis. When …

objective is to provide a framework to model conditional volatility regarding the changes in the investor sentiment by measuring … the effect of noise trader demand shocks on the volatility of stock market indexes of the various countries. GARCH, TARCH …, and EGARCH models are used to test whether earning shocks have more influence on the conditional volatility in high …

We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both … tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in … the volatility dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes, and …

We propose a model of volatility tail behavior, in which investors display aversion to both low volatility and high … volatility states, and, hence, the derived pricing kernel exhibits an increasing and decreasing region in the volatility … dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes, and maximize their utility …