asymmetry, volatility and liquidity on the Hong Kong Stock Exchange (HKSE), we find that the information asymmetry and spread … asymmetry. Our findings for volatility are however mixed. Overall, the increased disclosure obligation imposed on substantial …

In this article the relationship between market return and volatility is examined by applying out-of-sample methodology … unexpected volatility and monthly returns in most of international exchanges. I didn't also find any significant relationship … between forecasted volatility and monthly returns. The results contradict the asset pricing theories which explain a positive …

expected return in Indonesia Stock Exchange (ISE). The idiosyncratic risk is proxy by idiosyncratic volatility, realized and … expected idiosyncratic volatility, as a natural proxy for this risk that only found in individual securities. The realized … realized idiosyncratic volatility on return is significantly positive. We also find that the effect of lagged idiosyncratic …

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 …

This investigation focuses on the volatility of stock returns in the Belgian Stock Exchange from the period of April … 1991 to April 2008. Empirical results have shown that there is a mean and volatility spillover effect from the big European … of Euronext stock exchange in September 2000 has affected the conditional volatility. Ultimately, the structural analysis …

This study examines the impact of trade characteristics on stock return volatility. Using a sample of transaction data … stock return volatility. The result lends support to the stealth trading hypothesis (Barclay and Warner, 1993). After … controlling for trading frequency, the average trade size is found to have little explanatory power on price volatility. Stock …

reveal that the GARCH (1, 1) model successfully captures nonlinearity and existence of volatility. The analysis suggests … indicates a long persistence of volatility in Indian stock market especially National Stock Exchange (NSE) of India. The … preliminary analysis of data set suggests that volatility in the Indian stock market is time varying in nature, persist to form …