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 …

This paper investigates the presence of day-of-the-week effect, returns volatility and analyzes the annual returns of … returns volatility in most of these Markets. The stock exchanges experienced enormous growth between 2001 and 2010. The result … accompanied by any volatility seasonality and investing on low (high) return weekday does not necessarily mean that risk is also …

This study is conducted to shed more lights on the relationship between volatility and liquidity in the Indonesia Stock … volatility, measured by realized volatility, and liquidity, measured by high-low spread estimator. We found inconsistent … relationship between liquidity and volatility in the IDX. Further, we also found that the liquidity is important in the asset …

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 …

volatility risk and oil price risk. I refer to this effect as the `risk' effect on stock returns. Independent of effects on risk …

a volatility modeling approach. Using monthly data on stock market returns and consumer price index inflation rate, the … paper employed GARCH and E-GARCH volatility modeling techniques for analysis. The study found that CPI inflation is not an … important variable in explaining stock market return volatility in Nigeria. The E-GARCH model did not find existence of …