This paper examines the effect of order imbalance on realized volatility in the Australian stock market for the period between August 2007 and May 2016. To analyse this asymmetric relationship, we decompose order imbalance into buyer- and seller-initiated trades and capture good and bad...

We investigate the impact of monetary policy announcements on stock market volatility in the U.S., Canada, Japan, the U.K., Germany, France and Italy during the 2006-2016 period. More specifically, we study the impact of policy rate and quantitative easing announcements of domestic and foreign...

Macroeconomic factors play a pivotal role in attracting foreign investment in the country. This study investigates the relationship between macroeconomic factors and foreign portfolio investment volatility in South Asian countries. The monthly data is collected for the period ranging from 2000...

Using data from ten developed and seven emerging countries, we analyse stock market's volatility and the macroeconomic factors that influence stock market's volatility from January 2001 till December 2012. We use standard historical volatility model followed by Jones et al. (1998) and Andersen...

The paper examine the impact of exchange rates on the Indian stock market using a generalised VAR model. There is a significant impact of exchange rate on Indian stock market which is in support to portfolio balance effect. The paper also find that that nature of impact differs across various...

In this paper, I test the performance of the CAPM, Fama-French three-factor and Carhart four-factor models on the Polish market. I use stock level data from April 2001 to January 2014. I find strong evidence for the value and momentum effects, but only weak evidence for the size premium. I form...

This paper investigates the validation of the Mixture of Distributions Hypothesis (MDH) using trading volume and number of trades as contemporaneous proxies for information arrival in 15 sector indices of the Saudi Stock Exchange (Tadawul) using the TGARCH model. Findings provide strong evidence...

This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at an increasing rate as the option's maturity date approaches. To explain this stylized fact, this paper provides a market microstructure model for the bid-ask spread in options...

We combine recent developments on extracting jumps from high frequency stock index data with the literature on option pricing with time varying volatility to model S&P 500 index returns from 2005. We compare the fit of several GARCH models, with and without jumps, from the historical return...

This study aims to examine regularities of price limit hits for stocks listed in the TSE. Regularities of limit hits have not been examined before. The results show an increase of limit hits on Monday and Tuesday. These results of limit hits are consistent with the existing literature for the...