This paper examines the interrelation between short selling and volatility as differing from previous research in that … beginning of opening sessions, which significantly impacts the volatility of the market for the rest of the trading day …

unchanged when compared to VIX exchange-traded products and the volatility indices on non-US equity exchange-traded funds …

with higher pre-crisis earnings volatility, causing investors to demand a higher ambiguity premium for such firms. While … there is no relation between earnings volatility and stock returns under normal conditions, there is a significant negative … relation between crisis-period stock returns and prior earnings volatility. In other words, during economic turmoil, investors …

microstructure literature that large past shocks of flow toxicity can lead to volatility through liquidity shortages …This paper investigates the relationship between the volatility of Volume Synchronized Probability of Informed Trading … (VPIN) and future short-term volatility of stock returns. We construct a transaction-signed version of VPIN (TR-VPIN) based …

safeguard against excessive volatility. This paper proposes an asset pricing model where two types of rational traders coexist … volatility not only exists, but is actually fueled by fundamental trading. Consequently, efficient markets are more volatile with … speculation might, surprisingly, end up increasing volatility …

correlation networks. We observe volatility clustering of various forms in the time series of returns and uncover regular …

This paper introduces a new class of long memory model for volatility of stock returns, and applies the model on …

-building. We focus on the IPO initial underpricing, long-run performance and after market liquidity problems. 1. We propose that …