-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that …, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while …

-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that …, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while …

ETFs increase the volatility of the underlying assets, and that the prices of the underlying assets are affected by shocks … ; undervaluation ; volatility ; excess returns ; price ; cross market contagion ; arbitrageurs …

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

previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …

show that there is an increased intensity of SEO abnormal return volatility and volume during economic disruptions. We find … evidence of abnormal return volatility and volume in standalone and restricted SEOs being higher relative to combined SEOs. We … also identify that higher performing sectors experience larger abnormal return volatility and volume. Finally, using an …