volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the … seasonality returns (Day-of-the-Week effect) and the volatility structure. Design/methodology/approach - The analysis of data is …-GARCH model demonstrate that the debt crisis and, therefore, its consequences increase the FTSE / ASE 20 index volatility and the …

This study employs the daily data of the Stock Exchange of Thailand to test for the leverage and volatility feedback … in the US that might affect the volatility of stock market return in emerging stock markets. The results from this study … show that the US subprime crisis imposes a minimal positive impact on volatility. In addition, the estimations of the three …

volatility, and other non-cap-weighted indices such as high dividend yield, high quality, high and low beta or equal …

. According to the results, bear periods have higher volatility persistency than bull periods. …

study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …

This paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to … September 29, 2006. The empirical evidence reported here does not support the proposition that the return-volatility …