Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …

time variation of stock return volatility (GARCH). In the long-term, our results suggest that the US defense firms only …. -- terrorism ; volatility ; GARCH ; event study …

Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR … stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE …

Even though volatility spillover effects in global equity markets have been documented extensively, the transmission of … illiquidity. We empirically study the illiquidity and volatility spillover effects in eight developed equity markets during and … after the recent financial crisis. The results indicate that equity markets are interdependent, both in terms of volatility …

time-varying parameter vector autoregression with stochastic volatility. The empirical analysis reveals several new …

study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …

of these higher frequency statistics is not yet completely clear. Does intraday volatility (or single events like … intraday volatility “spikes”) have any forecasting power for security prices or future daily volatility? Does risk transmit … relevant for example for portfolio hedging issues. Moreover, volatility seems to be strongly mean reverting, in the sense that …

linkages and fundamental forces driving return volatility in the SAARC (South Asian Association for Regional Cooperation … asymmetric volatility responses, while Nepal exhibits an inverted asymmetric volatility response, and in contrast Sri Lanka … exhibits a symmetric volatility response to return shocks. Finally, most of these markets experience volatility spillover …

Volatility is essential to consider uncertainty surrounding investments in financial assets. For this reason, financial … volatility. Against this background, this paper investigates the volatility of returns on the Zimbabwean stock market between … January 2020 and January 2022. We use the All Shares Index for Zimbabwe Stock Exchange (ZSE) for volatility analysis and …