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Modelling price movement in trading volume-volatility relations

Pei Pei Tan; Galagedera, Don U. A.; Sze Shi Ting - In: Malaysian journal of economic studies 52 (2015) 2, pp. 135-156

Persistent link: https://www.econbiz.de/10011452838

An analytical derivation of the relation between idiosyncratic volatility and expected stock return

Galagedera, Don U. A. - 2009

Persistent link: https://www.econbiz.de/10008661973

Effect of exchange rate return on volatility spill-over across trading regions

Galagedera, Don U. A.; Kitamura, Yoshihiro - In: Japan and the world economy : international journal of … 24 (2012) 4, pp. 254-265

Persistent link: https://www.econbiz.de/10009704630

Conditional relation between systematic risk and returns in the conventional and downside frameworks : evidence from the Indonesian market

Nurjannah; Galagedera, Don U. A.; Brooks, Robert - In: Journal of emerging market finance 11 (2012) 3, pp. 271-300

Persistent link: https://www.econbiz.de/10010380791

Modelling the risk and return relation conditional on market volatility and market conditions

Galagedera, Don U. A.; Faff, Robert W. - 2004

Persistent link: https://www.econbiz.de/10002121816

Modeling the risk and return relation conditional on markt volatility and market conditions

Galagedera, Don U. A.; Faff, Robert W. - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 75-95

Persistent link: https://www.econbiz.de/10002625219

Association between Markov regime-switching market volatility and beta risk : evidence from Dow Jones industrial securities

Galagedera, Don U. A.; Shami, Roland G. - 2003

Persistent link: https://www.econbiz.de/10001892068

A comparison of developed and emerging equity market return volatility at different time scales

Maharaj, Elizabeth Ann; Galagedera, Don U. A.; Dark, … - In: Managerial finance 37 (2011) 10, pp. 940-952

Persistent link: https://www.econbiz.de/10009355226

Trading Activity and Realized Volatility : Evidence with Decomposed Trading Volume and Order Imbalance

Ting, Sze Shih - 2010

This study investigates the relation between decomposed trading volume (number of trades and average trade size) and realized volatility and its continuous and jump components. Considering buyer-initiated and seller-initiated trades and investigate whether buyer and seller initiated trades as...

Persistent link: https://www.econbiz.de/10013138999

Some Analytical and Empirical Results on the Relation between Idiosyncratic Volatility and Expected Stock Return

Galagedera, Don U. A. - 2010

We show analytically that the cross-sectional relation between idiosyncratic volatility estimated as the variance of the residuals in a single factor model and expected stock return may be represented by a truncated parabola that opens to the left and has horizontal axis. This relation is...

Persistent link: https://www.econbiz.de/10013139841