In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity … market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three … considerably from those for Mexico. In particular, the empirical results indicate that volatility spillover effects, but not return …

observed that the volatility shocks are quite persistent and take a long time to die out. September 11, 2001incident and … thereafter war on terror has increased the conditional volatility of foreign direct investment and has statistically significant … volatility. One interesting finding of this study is that the impact of Non-Democratic regime before September, 11 scenario is …

A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish … display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common volatility indicators …, as an implied volatility indicator or a GARCH(1,1) conditional volatility model. This relationship is approximately …

five Asian emerging economies (India, Indonesia, South Korea, Malaysia and Thailand) during the period 1982 to 2007. All of …

volatility reaction to market shocks and volatility persistence alongside the asymmetric properties. The results reveal that … volatility of Nigeria and Kenya stock returns react to market shock faster than as other countries do. The results also suggest …

This article provides results on the volatility spread for stock markets in emerging economies. Empirical studies on … determining or predicting volatility in national and international financial markets provide information for investors. The aim of … this study is also to analyze volatility spreads from the United States of America, France, Germany, Japan Turkey, China …