volatility. We take China’s Shanghai – Hong Kong Stock Connect as a representation of China’s capital account liberalization. We … on the Shanghai stock market returns and volatility for the period from November 17, 2014 through November 19, 2017. The … and volatility. Compared with other studies on emerging stock markets, our results do support some empirical regularity …

past domestic volatilities does not generally affect the mean and the volatility of the estimated thresholds. Specifically …, with the exception of the Italian market we find at least two volatility regimes, due to an asymmetric structure of … volatility as a function of bad and good domestic news. Moreover, in the majority of the series under scrutiny we also identify …

Recent studies suggest an increasing trend in return idiosyncratic volatility and a ‘puzzling' negative relationship … between idiosyncratic and total volatility and stock returns. We investigate in an emerging market, the time-series behaviour … of total and idiosyncratic volatility and their respective relationship with cross-sectional stock returns. First, we …

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China … bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low … indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross …

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China … bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low … indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross …

The major aim of this empirical study is to estimate the volatility time series returns for a cluster of international … capture volatility clusters and changes in long and short term volatility impact. The econometric approch is based on randomly … using GARCH family models for estimating financial market volatility. Moreover, the sampled time interval includes two …