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 …

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 …

returns and increased volatility on the UK stock market. …

The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …

In this paper, the role of the reference-dependent preference in the relationship between idiosyncratic volatility and … a reference point for a definition of the loss and gains domain. As a consequence, the negative idiosyncratic volatility … domain, suggesting the important role of the reference-dependent preference in the idiosyncratic volatility puzzle …

use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … volatility process of the index, using augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results … macroeconomic variables explain the VKOSPI. More importantly, we find that the stock market return and implied volatility index of …