We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross …-country database spanning up to 211 years and 60 countries. Prolonged periods of low volatility have strong in-sample and out …-of-sample predictive power over the incidence of banking crises and can be used as a reliable crisis indicator, whereas volatility itself …

In this paper we propose a framework for predicting market returns and volatility using changes in the country … and volatility equations. The appropriate level of aggregation for the political risk variable is also examined. We … analyse 47 emerging and 21 developed markets. We find political risk predictive power primarily for volatility, when looking …

The objective of this paper is to investigate the behavior of the time varying volatility in eleven MENA countries … find that MENA stock market volatility can be characterized by three regimes: tranquil period with low volatility of … volatility, turmoil regime with high volatility of volatility and crisis regime with extremely high volatility of volatility …

In this paper, we analyze the connectedness between the recent spread of COVID-19, oil price volatility shock, the … of COVID-19 and oil price shocks on the geopolitical risk levels, economic policy uncertainty and stock market volatility …

use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative …