Previous research indicates that performance and volatility of small and regional stock markets can be influenced by … bubble, and a great recession which followed after. Significant volatility of SASE was noted in 2007 while later periods … suggest lesser volatility after a significant drop in index value in mid 2007. The data was analyzed in a side by side …

, volatility, turnover and number of transactions. The study shows that news announcements have an effect on the return of stocks …. However, no relation can be found between news and volatility, nor between news and number of transactions. On the other hand …

with higher ESG scores are better investment picks. This paper attempts to assess the volatility and returns of Indian … companies and to measure the impact of ESG scores on returns and volatility with the help of panel regression …

The prevailing view of implied volatility comovements, IVC, defined as the correlation between a firm's implied … volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm …'s investors. We take a different stance and conjecture that implied volatility comovements can also indicate expected information …

volatility states. While momentum strategies are unconditionally unprofitable in US, Japan, and Eurozone countries in the last …

holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR-GARCH (p … return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE. This is might be …

We show that after monetary policy announcements, the conditional volatility of stock market returns rises more for …

This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI …-sample forecast accuracy. The results confirmed the presence of long memory in both the return and volatility series for all the five … markets under study. Among the group, CNIA and STI showed most persistence in both the return and conditional volatility. In …