obtained from conditional variance of returns in stock exchange with GARCH (1,1) model (except Japan stock exchange volatility …). Japanese stock exchange volatility is gained with ARCH (1) model because of its coefficients' significances. In our study, we …

The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset … based on Granger causality test have lower expected returns, not related to idiosyncratic volatility. Secondly, empirical … evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor. …