During the recent financial crisis, there was a dramatic spike, across all industries, in the volatility of individual … spikes in firm-specific price volatility, a pattern that poses a puzzle in terms of existing financial theory. The most … difficult economic times. This discovery of a long history of crisis-induced spikes in firm-specific price volatility has …

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …

affected by unconventional monetary policy actions. The near-term (implied) market volatility is now lower because according to …

financial sector and factors that explain why these strains lead to system-wide contagion and a possible credit crunch. Most of … that a financial crisis with its contagion within the system is caused by failures of legal, regulatory and political … crises would be reduced if appropriate institutions could be put in place Lacking appropriate institutions to avoid contagion …

.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price … Risk ; Intermediary ; Volatility …

We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid …-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account …