This paper investigates the dynamic relationship between index returns, return volatility, and trading volume for eight … between Asia and the US to be strong in both directions, and spillovers in volatility to run from Asia to the US. Trading … volume, especially on the Asian markets, depends on shocks in domestic and foreign returns as well as on volatility …

This paper examines the changing nature of volatility spillovers among the U.S. and eight East Asian stock markets … volatility is not always spilled over from directly affected markets to surrounding markets in crisis periods. The East Asian … markets who directly suffered from the Asian currency crisis are the ones to which volatility is spilled over from other …

volatility is affected, and (iii) we investigate whether bond volatility from the financially distressed EU markets spills over …, subsequently affecting energy/commodity return volatility. Our results indicate the existence of significant contagion effects from … changes in the nature of energy/commodity volatility during the EU financial crisis. We also report the existence of …

With option-implied volatility indices, we identify networks of global volatility spillovers and examine time … the spread of volatility spillover to other markets. The global systemic risks have intensified since the Federal Reserve …

to investigate the volatility spillover effect between foreign exchange and stock market during different periods like …-dollar exchange rate and CNX Nifty return series, we report evidence of asymmetric and volatility spillover in the three sub …-periods between these two markets. The post-crisis period has higher asymmetric and volatility spillover as compared to other periods …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

to capture markets' dependencies and volatility spillovers and is employed on a single market level as well as on the …