Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust …) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a …

prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …

This paper discusses the role that stock market volatility plays in the linkages between the U.S. stock and Treasury …. The baseline analysis shows that the interaction between volatility and illiquidity dynamics coincides with the flight …-term and the short-term bond markets. Finally, this paper finds that an adverse stock market volatility shock increases the …

various market outcomes (the price level, volatility, trading activity, market liquidity, and the degree of speculative …

The study attempts to assess the influence of investor sentiment onselected sectoral indices returns volatility in the … influence of investorsentiment on sectoral indices return volatility is traced. The stronger theinfluence of investor sentiment … and higher will be the current market volatility.The results of this study may assist individuals, institutional investors …

successfully replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and …

market volatility beyond the volatility of macroeconomic fundamentals: (1) an increase in SVI is associated with higher … volatility in both time series and cross section; (2) causal effects run mainly from SVI to volatility. In addition, SVI is …

We study the effects of the investment horizon on asset price volatility using a Learning to Forecast experiment. We … investment horizons such bubbles do not emerge and price volatility tends to be lower. This is due to the fact that, for longer … relatively stable before participants start their prediction task, price volatility remains small, with prices close to their …

volatility of the price--dividend ratio, the predictability of cash flows and returns, and the large predictability of returns in …