The paper aims to estimate the impact of calendar effects in volatility of the preferred and ordinary shares of Vale …. The data researched were the stocks prices Vale between January 2, 1995 and October 26, 2011. The Stochastic Volatility … Model (SV) was the Model and the Kalman Filter was the estimation method used. The results indicate that the privatization …

impact on market liquidity and volatility. Our results indicate a tendency among most individual day traders to behave as … liquidity by reducing the bid-ask spread, temporary price volatility and the temporal price impacts. Our results, which are … trading destabilizes the market while also exacerbating market volatility …

of study, opening and closing prices of gold futures contract, traded on India's largest commodity exchange i.e. Multi … Commodity Exchange of India Limited (MCX), have been analysed with the help of dummy variables. Daily return from close to close …

conditional volatility pattern of the Malaysian stock index over the period from 1994 to 2004. In an attempt to isolate the effect … the three sub periods and provide strong explanation for both return volatility pattern on Malaysian capital market. While … post crisis period only. While volume serves as mixture of distribution explaining return distribution and volatility …

We use a GARCH dummy model to study the influence of calendar effects on daily conditional returns and volatility of …, however, we find significantly lower risk over the weekend whilst in the beginning of the week Bitcoin's volatility is more …

both return and volatility are examined: The day of the week effect, the January effect, the half month effect, the turn of … the week, turn of the month, time of the month) in both mean and volatility equations for Greece and Turkey, which is … and exist only in volatility. This contradictory evidence could be due to a different level of liquidity and maturity for …