in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors … drive liquidity and volatility in both markets. Monetary expansion increases equity market liquidity during periods of …

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …

relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market …-to-book groupings. Though stock liquidity affects the strength of the relation, the relation is strong for the most liquid stocks. The … relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …

relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market …-to-book groupings. Though stock liquidity affects the strength of the relation, it is strong for the most liquid stocks. The relation … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 … to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover … varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the …

This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility … data that spans more than 3,000 trading days. We find that volatility and liquidity innovations in one sector are …, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using …