volatility. This empirical phenomenon is shown to arise within a tractable accounting-based valuation model that allows for risk … aversion and stochastic earnings volatility. The model predicts that expected stock (stock return volatility) returns are … to explain price dynamics across stock and volatility markets …

market volatility. A relatively high return dispersion predicts a deterioration in business conditions, a higher value …

. This paper aims to search the best model to estimate and forecast volatility of Indian and Chinese stock market. The data …, we found the GARCH (1,1) model as the best model to estimate and forecast the volatility of Chinese stock market for both … the daily and weekly return series. For the Indian stock market, the recommended volatility estimation and forecasting …

This paper examines the effects of persistence, asymmetry, and the US Sub-prime Mortgage crisis on the volatility of … the returns and also the linkages and causality between the spot and futures volatility by using various classes of the … distributions. The magnitude of the volatility in returns of the spot and the futures market are similar, and therefore there is no …

This study examines the ability of investor sentiment to predict conditional volatility and excess returns at both … been confirmed that bullish (bearish) sentiment increases (decreases) volatility which in-turn affect the mean variance … relationship. However, the commonality of the effect of investor sentiment via conditional volatility has not been uniform across …

volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile … and negative investor sentiments and stock market returns and volatility. Specifically, an increase in positive investor …. The effect of investor sentiment on volatility is consistent across the distribution: negative sentiment increases …

stock market uncertainty, specifically the implied volatility (IV) from equity index options and detrended stock turnover …

This paper estimates the day-of-the-week effect on the market return, volatility of market returns and trade volume of … exist in case of market return, volatility of market return and trade volume over the study period of 2005 to 2018. It is … evident that lowest return, highest volatility, and lowest trading volume occur on the Sundays. Returns of Mondays and …

find on a daily basis, an abnormally high volatility only within one day following the overnight announcement. On an … intraday basis, a striking volatility spike stands out during the overnight period, implying that the earnings news is fully … reflected in the opening price. The continued high volatility during the first several minutes of trading seems to be driven by …