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 …Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in …

the EGARCH model and event study methods to study the impact of the major risk event of Sino-US trade friction on soybean … of additional tariffs increased, the volatility of the Chinese soybean futures market declined; however, the volatility … volatility of the US soybean futures market. In addition, while the release of multiple tariff increases has had a short …

This paper focuses on the effects of political uncertainty and the political process on implied stock market volatility … stock market uncertainty, as measured by the VIX volatility index, increases along with positive changes in the probability … of success of the eventual winner. The association between implied volatility and the election probability of the …

oil price change and stock market returns at different risk levels. In the model, ten copulas are provided to measure the … stock markets in ten important countries and Brent oil market, we estimate the downward and upward risk spillovers from oil … to stock markets. The empirical results suggest strong evidence of risk spillover effects from oil to stock markets …

terms of both price and volatility, by using 5 minute data over 2007-2010 period. The findings of this study indicate that a …

volatility impact of DAX futures trading. Our results confirm a volatility-reducing impact of DAX futures trading, whereas the … stability ; financial market volatility ; GARCH ; stock index futures ; derivatives …

volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships …. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The …

We explore the stock market and option implied volatility response of the oil and gas industry to four policy events … Drilling (CAAR -10.5%) most severely affected. This is further supported by an increase in implied volatility and by a … indicated that investors are pricing current policies when examining climate risk and that, in this respect, the Paris agreement …

stability. A case in point is the abrupt market crash of short volatility strategies on February 5th 2018. In this paper, we … highly concentrated and volatile. The Volmageddon episode provides valuable risk management lessons because it illustrates …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …