growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …

returns and increased volatility on the UK stock market. …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency of gold …, volatility, volume and bid-ask spread. Returns and volume both experience strong intraday periodicity linked to the opening and … bilateral Granger causality between returns and volatility of each precious metal, which holds for the vast majority subsamples …

This paper investigates the role of volatility risk on stock return predictability specified on two global financial … volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …

Previous research indicates that performance and volatility of small and regional stock markets can be influenced by … bubble, and a great recession which followed after. Significant volatility of SASE was noted in 2007 while later periods … suggest lesser volatility after a significant drop in index value in mid 2007. The data was analyzed in a side by side …

We investigate the existence and significance of a cross-sectional relation between idiosyncratic volatility and … expected returns at the global level by introducing a global idiosyncratic volatility measure and globally diversified test … assets. We find that the portfolios with the highest and lowest global idiosyncratic volatility don't earn significantly …