The present study addresses the economic interpretation of stock market volatility. We argue that its character is … volatility. This exploits the revealed reaction of investors to gauge the degree of information and uncertainty ascribed to … volatility. We estimate simultaneous timevarying coefficient models, using data of US and further stock markets. We find the …

in the three main geographical regions of USA, Europe and Asia around the Global Financial Crisis (GFC) of 2007. Using … centres. These factors are the differential in trading volume, the differential in stock price volatility and the interest … rate differential. The results are robust to different models' specifications, and indicate that the role of the USA market …

propose a coskewness-volatility-managed momentum strategy that reduces the reversal risk of the baseline WML strategy by 61 …% and that of the volatility-managed momentum strategy (Barosso and Santa-Clara, 2015) by 20% for US stocks. The returns of … our strategy generate a slightly positive skewness in contrast with the negative skewness of the WML and volatility …

We propose measures of the total volatility spillover, the regional volatility spillovers of 11 countries, and the … directional volatility spillovers between Chinese and world equity markets from February 1996 to December 2009, based on forecast …: 1) The Chinese stock market was little affected by other equity markets in the sample period. After 2005, the volatility …