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 …

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 …

volatility index (VIX). I find a significant negative contemporaneous relationship between changes in VIX and both news sentiment … between previous and current period changes in implied volatility and stock returns, while current period and lagged news … strategy whereby high (low) levels of implied volatility signal attractive opportunities to take long (short) positions in the …

study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …

This paper investigates the asymmetric volatility behavior of Nepalese stock market including the spillover effects … from the US and Indian equity markets. We model asymmetric volatility within generalized autoregressive conditional … compared to the results in other international equity markets: positive shocks increase volatility by more than negative shocks …

, 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 …

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 …

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 …