-BEKK model introduced by Engle and Kroner (1995) is employed to analyze the volatility transmission structure. We identify the … is observed. Furthermore, we detect unidirectional volatility transmission from the futures to the spot market at highest …

Stock prices are one of the most volatile economic variables and forecasting stock prices and their returns has proved … returns in nine international stock exchanges for the period 1998-2008. The models are random walk, historical mean, moving … average, exponentially something, AR, and GARCH class models including ARCH, GARCH, GJR- GARCH, and EGARCH. Volatility is …

We investigate the volatility impacts of the full commission deregulation in Japan in October 1999, and find that the … deregulation overall tends to significantly increase price volatility in the Japanese equity market, using alternative model … transaction costs and price volatility, while consistent from the converse with the hypothesis proposed by Stiglitz (1989) and …

both significant absolute price change and trading volume. DR returns and volatilities are affected by the shocks in the …-listed markets are transmitted to domestic stock returns and volatilities. South American DRs are affected mostly by U.S. shocks …

both volatility and trading volume are higher on the final settlement days as compared to normal trading days. We also … performance whereas foreign investors achieve the worst returns. Our empirical results provide strong evidence in support of the …

The short term and long term stock price volatility changes around bonus and rights issue announcements have been … examined using historical volatility estimation and time varying volatility approach. The results show that the historical … volatility has increased after bonus and rights issue announcements. Volatility persistence and unconditional volatility have …

The financial markets stylized facts, volatility and its relationship with returns tested empirically in Tehran Stock …, 1) - EGARCH (1, 1) are used to determine the process of stock returns and volatility, and by applying ARCH(M) class … models and out-of-sample methodology the relationship between stock return and volatility is examined. The key findings are …