mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are …

liquidity proxy variable, Chicago Board of Exchange's (CBOE) S&P 500 market volatility index (VIX), into the model. Variance …

. Financial diversification and integrated European capital markets are expected to improve risk sharing among households … superiority of either a bank-based or a market-based financial system in promoting growth or reducing macroeconomic volatility … investigate the effect of the structure of the financial system on the volatility of output and investment growth as well as their …

call auction on market quality at phases with high volatility or information asymmetry. The results suggest that the … intraday pattern of volume and volatility in the continuous market remains unchanged even after the introduction of the call …. The volatility and volume still take about 30 minutes to stabilize and the auction attracts very little volume. There is …

intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF regressions, we examine the … volatility dynamics. We find that Indian stock market exhibits 'reverse J' shaped intraday volatility with much higher intraday … to small cap stocks. Higher volatility is also observed in the first one-hour of trade after weekends, in the first half …

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 …

The portfolio of low-volatility stocks earns high risk-adjusted returns over a full market cycle. The annual alpha … spread of low versus high-volatility quintile portfolios is 25.53% in the Indian equity market for the period from January … 2000 to September 2018. The low-volatility (LV) effect is not an overlap of other established factors such as size, value …

I provide a novel risk-based explanation for the profitability of momentum strategies. I show that past winners have … higher extra downside risk and lower extra upside risk (on top of the market-beta risk) than past losers. As a result, the … winner-minus-loser momentum portfolios are exposed to extra downside risk, but hedge against the upside risk, and this is …