framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

and the influences of volatility. Using a sample of 46 stocks listed in the Stock Exchange of Thailand, in this paper, an … event study technique is developed considering idiosyncratic volatility to analyze the reactions of stock prices and market … volatility in Thailand during the period of the pandemic. The empirical results suggest that most securities in the Thai stock …

This study examines the long run impacts of equity market volatility on index returns of nine major international stock … exchanges in the Western and Asian regions. This study employs the text-based Economic Market Volatility (EMV) index to measure … the degree of uncertainty in the U.S. stock market. Using monthly data from December 2001 to August 2018, the estimation …