daily trading volume for the 33 stocks involved, which, in turn, leads to a reduction in volatility in the stock market … have additional effects on the volatility of stock returns for the majority of the Hang Seng Index component stocks. On the … other hand, over a longer horizon, an increase in volatility is observed despite a decline in trading volume. Our results …

financial crisis in the USA and the other developed markets. The purpose of this paper is to put to test the government's claim … by exploring the level of integration between Russia and the USA and European equity markets. Design … data into three periods, i.e. pre crisis, during crisis and post crisis. Next the Multivariate GARCH-DCC model technique is …

financial crisis in the USA and the other developed markets. The purpose of this paper is to put to test the government's claim … by exploring the level of integration between Russia and the USA and European equity markets. Design … data into three periods, i.e. pre crisis, during crisis and post crisis. Next the Multivariate GARCH‐DCC model technique is …

volatility spillover is modeled through an asymmetric multivariate GARCH model. We find significant unidirectional shock and … volatility spillovers from the U.S. market to both the Japanese and the Asian emerging markets. It is also found that the … volatility spillovers between the U.S. market and the Asian markets are stronger and bidirectional during the Asian financial …