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

structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and …

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 …

stocks, the paper focuses on the study of the monthly evolution of normalized volatility ratios on Euronext Paris for the CAC … normalized volatility ratio is used as a measure of the market quality from the point of view of price discovery. A significant …-hour number of trades and the monthly average number of transactions are significant explanatory variables of the volatility …

market manipulation, the highest volatility and probability of market crashes, yet the highest liquidity. The so … detect spoofing market manipulation, lower volatility and probability of market crashes, but lower liquidity levels. Finally …

This study investigates the possible Granger-causal relations between stock price volatility and dividend dynamics on …-2018. Stock price volatility is calculated in terms of "conditional" volatility and in terms of the so-called "Shiller ratio … speculation to stock price volatility. Furthermore, we show that there is an inverse causal relationship ranging from stock prices …

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …