up the annual beta’s change attributed to the volatility market effect, the stock volatility effect, the correlation …

The interaction of volatility between the financial markets and gold market is analyzed. The volatility of the price of … of the variables itself. Through these models we proved there is a relationship between the volatility of gold prices and …

volatility from one capital market to another. This study aims to understand the spillover effect between the US, the Japan … capital markets and Indian equity index (Sensex). We analyze whether the volatility spillover is contemporaneous (directly in … the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken …

This paper investigates the volatility and correlations of stock returns of some crisis-hit countries such as, US … following two issues: Firstly, to measure the extent of volatility of the stock indices under study and also the correlation of …

This paper investigates maize price volatility in Swaziland as offered by NMC, an organization with a mandate of … stabilizing prices in the country. Price volatility is analyzed using ARCH/GARCH modeling techniques. Results show that the … control persistence in volatility. Asymmetric analysis of the prices shows that prices have not reacted unequally to shock …

The volatility of exchange rates leads to a reduction of international trade volumes, especially in emerging economies … flows, which comes timely after the increased volatility between the Euro and Arab national currencies during the last few … exchange rate volatility on trade using monthly time series for the last ten years from 2000 up to 2011. By means of a Vector …

When regulating the financial system, the volatility phenomenon seems to emerge, practically, as a phenomenon which is … volatility of prices and returns. At the same time, the leverage has also got a role at both levels: the capital structure of the … firm and the investors’ strategy. We examine the return and volatility in relation to leverage by considering different …

leverage in affecting the returns and the firm‘s share price volatility in relation to an Islamic finance perspective (IFP … theory, that a portfolio with a higher capital structure has higher volatility and lower returns compared to a portfolio with … return and volatility in portfolios with high and low capital structure. To ensure the robustness of results, the business …

The study of volatility transmission across markets commonly termed “volatility spillover” provides useful insights … volatility and information transmission across the Gulf Cooperation Council (GCC) markets. The model separates direct volatility … portfolio managers. Findings of the study show that effects of indirect volatility transmission are more prominent than direct …

well as the size of its volatility. In particular, the model shows clearly that if the flows of foreign capital induce … volatility in the economy, the bulk of remittances from the diaspora seems to have the opposite effect, it tends to play a …