herding all contribute to market volatility in price and return and volatility clustering, but their impact are different. On … switching reduces the return volatility and an initial increase in switching reduces the price volatility and increases the …

This paper examines the link between research and development (R&D) and idiosyncratic volatility for a panel of large … idiosyncratic volatility higher. Our results show that R&D investment intensity should be considered as a determinant of the … idiosyncratic volatility and that R&D increases the riskiness of the firm. …

the volatility of US stock market during the subprime crisis is significantly transmitted to Asian and European financial … markets. Moreover, UK and Swiss financial markets present an important role in emitting volatility to Asian markets. In …. All residuals showed enhanced volatility during the financial crisis period of mid 2007-2008. Moreover, the cross …

market volatility. …

This paper uses the multi-chain Markov Switching model to examine the nature of the volatility transmission across … it is tranquil, and portfolio weights are larger for assets that are in the low volatility state. …

CEOs to maintain a regular performance over time and a stable volatility level. The importance and implications of the …