volatility series are being tested for significant reactions to the Brexit event. The results indicate mixed results regarding … the abnormal cumulative return series, but the volatility series were found to be significantly affected by the mentioned …

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …

The relationship between the level of stock market volatility and public information flow is non-linear, resembling a … bell-shaped function. Medium levels of information flow generate heightened volatility, whereas weak and strong information … realized GARCH model with time-varying intercept, measuring changes in the overall volatility level, which is governed by a new …

of long-term stock market volatility. When long-term volatility is high, stock returns are more sensitive to news, and …-linear present value framework with a two-component volatility model for the conditional variance of cash flow news and allowing for … volatility feedback. In our model, innovations to the long-term volatility component are the most important driver of discount …

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …