speculate, we show that speculation increases volatility of asset returns and investment growth, increases the equity risk …

EGARCH model. Empirical results indicate significant return and volatility spillover effects during the full sample and the …-movements, and strong volatility persistence. During the Russian Great Recession subsample, the ownreturn effects of the markets are … partially integrated and the volatility transmission linkages across them are not that strong in crises periods, thus confirming …

This study shows that market volatility affects stock returns both directly and indirectly through its impact on … liquidity provision and the negative relation between market volatility and stock returns arises not only from greater risk … premiums but also greater illiquidity premiums that are associated with higher market volatility. In particular, we show that a …

This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that … fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by …. Variation in financial constraints connects Spillover Persistence to fragility. The results are consistent with the volatility …

it incorporates the co-movement and volatility of financial series as well as the levels of the series. Our index also …