This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil....

We study the volume-volatility relation by splitting volume into the number of trades and the average trade size at individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of trades is the most important variable driving...

The study examines the behavior of stock returns and volatility of returns in CSE around both Presidential and Parliamentary elections. Based on daily data during the sample period January 1985 through September 2009, a univariate GARCH model with return and volatility dummies is employed for...

This study examines the impact of terrorism on stock returns and volatility from an econometric perspective. Taking daily returns within the sample period May 1985-January 2007, the relevant hypotheses are tested in the context of the Colombo Stock Exchange. A GARCH specification is used to...

Recent literature documents that analyst recommendations tend to coincide with important corporate events, but offers mixed evidence on whether such recommendations have added value. In this paper, we use jump in stock price as a proxy for generic corporate “information event” and examine...