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 …

volatility series are being tested for significant reactions to the Brexit event. The results indicate mixed results regarding … the abnormal cumulative return series, but the volatility series were found to be significantly affected by the mentioned …

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

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

for a U shape pattern for both returns and volatility. Returns are positive at the opening and closing phases of a trading …

We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets … and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility … fundamental difference in the cross-sectional predictability of asset and equity volatility. This difference lies in the leverage …

We use realized volatilities based on after hours high frequency returns to predict next day volatility. We extend … inclusion of the preopen variance can improve the out-of-sample forecastability of the next day conditional day volatility … day conditional volatility. Our findings support the results of prior studies that traders trade for non …