volatility in Nigeria.  The data sets on monthly All Shares Index Prices of NSE, and consumers’ price index (CPI) cover the …, inflation volatility exerts significant positive impact on stock market returns and during the global financial crises … its volatility have negative effects on the volatility of stock market returns, though significant for inflation and …

conditioned on order size) to the volatility of price change. To a lesser extent, we also examine the impact of these parameters … number of orders, of any size, and volatility; (b) the price change in each order size category increases as order size … increases; (c) number and proportion of orders are uncorrelated with price change per se; and (d) volatility appears negatively …

The study of volatility inter-dependence provides useful insights into how information is transmitted and disseminated … paper explores volatility spillovers between the Australian and New Zealand stock markets. The objective of the paper is to … determine if volatility surprises in one market influence the volatility of returns in the other market. The existing literature …

for the generalised model. Second, we examine models which incorporate timeâ€varying volatility dynamics. Third, a class … of models that incorporates both timeâ€varying volatility and the levels model is analysed. We extend these models by …

This paper applies a disaggregated approach to examine stock volatility at the firm, industry and market level in … their methodology to incorporate: formal tests of changes in volatility as well as correlations; and the Hodrick …-Prescott Filter to identify trends in the series. A trend of decreasing volatility is identified at all levels of aggregation, which …

In the absence of comprehensive evidence regarding disaggregated volatility and correlations, this paper applies a … levels of volatility and correlations. Further, investors holding this regionally diversified portfolio are rewarded by … reduced correlations during times of increased volatility, highlighting the benefits of wider-reaching diversification. …

total volatility for the Thai baht and 46 per cent for the South Korean won. Indonesia is found to be the most affected in …