In this paper, we analyse historical stock market volatility and co-movement behaviour of three emerging markets and … exhibits higher stock market volatility during the study period and these volatilities increases during the global financial …, we do not find any evidence of a statistically significant correlation coefficient between the volatility measures and …

objective is to provide a framework to model conditional volatility regarding the changes in the investor sentiment by measuring … the effect of noise trader demand shocks on the volatility of stock market indexes of the various countries. GARCH, TARCH …, and EGARCH models are used to test whether earning shocks have more influence on the conditional volatility in high …

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …

volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships …. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The …

The objective of this paper is to investigate the behavior of the time varying volatility in eleven MENA countries … find that MENA stock market volatility can be characterized by three regimes: tranquil period with low volatility of … volatility, turmoil regime with high volatility of volatility and crisis regime with extremely high volatility of volatility …

This study is an attempt to model the volatility of stock returns in Indian market for the period 1997-2006 using GARCH …, TARCH and E-GARCH. Results point out that returns exhibit persistence and volatility clustering in both NSE Nifty and BSE … Sensex. Asymmetric volatility effect has been observed in both the series using TARCH and E-GARCH model. While forecasting …

This study investigates the relationship between trading volume and returns and volatility of Pakistani market for the …-M models are used to test the return, volatility and volume relationship. The results indicate that there is evidence of first … is significant interaction between trading volume and return volatility when volume is entered into variance equation of …

This paper examines the interrelation between short selling and volatility as differing from previous research in that … beginning of opening sessions, which significantly impacts the volatility of the market for the rest of the trading day …

focuses on volatility, where volatility is derived from a GARCH model. The results suggest that models which account for …