volatility. Our methodology shows the efficacy of stabilization policies, initiated notably by the Federal Reserve, in dampening …

use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative … returns are followed by higher co-exceedance between U.S. and emerging stock markets. Using our approach and controlling for a …

use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative … returns are followed by higher co-exceedance between U.S. and emerging stock markets. Using our approach and controlling for a …

equity returns, bond yields and measures of market risk such as implied volatility, skewness and kurtosis. Our main finding …

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …

-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention … given to emerging markets that offer higher risk-adjusted returns relative to developed markets. However, despite the … growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by …

We look into determinants (volatility, crises, sentiment and the U.S. 'fear' index) of herding using BRICS as our … relationship between volatility and CSAD (cross sectional absolute deviation)/herding, a lower CSAD (movement in a specific … direction) brings about less volatility. However, a high volatility amplifies herding (reduces CSAD), especially in China …

volatility. Our methodology shows the efficacy of stabilization policies, initiated notably by the Federal Reserve, in dampening …

effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze volatility and liquidity … around volatility interruptions implemented on the German and Spanish stock market which differ regarding specific design … parameters. We find that volatility interruptions in general significantly decrease volatility in the post interruption phase …