We examined volatility spillover effects from five prominent global stock markets to India's stock market during the … and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period …'s volatility significantly and the volatility is found to be persistent. The analysis also shows that during the pre-COVID period …

This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and …), we estimate monthly idiosyncratic volatility and investigate the effect of the COVID-19 pandemic at the portfolio and … idiosyncratic volatility and subsequent stock returns switches from negative to positive during the pandemic period. Furthermore, we …

volatility in the U.S over the period January 1st, 2019 to June 30th, 2020 by using the methodologies of Bai and Perron … results highlight a single break in return predictability and price volatility of both S&P 500 and DJIA. The timing of the … members before COVID-19 crashed the market. Furthermore, return predictability and price volatility significantly increased …

This paper examines the effect of foreign exchange news announcements on the volatility of stock returns in Nigeria … volatility equations. The empirical results revealed a positive and significant effect of exchange news announcements on stock … market volatility in Nigeria under symmetric conditional variance. However, there was strong evidence of asymmetric effect …

(cDCC). Moreover, we consider four possible specifications of the volatility: GARCH, GJR, GARCH-MIDAS, and Double …

This paper studies the effect of COVID-19 on the volatility of Australian stock returns and the effect of negative and … positive news (shocks) by investigating the asymmetric nature of the shocks and leverage impact on volatility. We employ a … than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is …