, the main objective of this paper is to test whether overconfidence bias can explain excessive volatility witnessed during … asymmetric effect of volatility for all equity market indexes. The relation between excessive trading volume of overconfident … investors and excessive prices volatility is then estimated. The results indicate that conditional volatility is positively …

We study how asymmetric information affects market volatility in a linear setup where the outcome is determined by …

liquidity and volatility. To identify causality, we rely on the unique design of this tax that is imposed only on large French … measures of liquidity, such as price impact, and no significant effect on volatility. The results are robust if we rely on …

-2011. To identify the components of discretionary expenditure, we use the volatility and persistence properties of the …

The aim of this article is to answer the following question: can the considerable rise in the volatility of the LAC … market volatility, especially in Mexico. …

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …

This paper attempts to determine whether or not the introduction of the euro affected the volatility of bilateral … breaks in volatility across investigated variables, there is high heterogeneity regarding the located dates. Moreover, the … realignments in the Exchange Rate Mechanism seem to play a significant role in the reduction of volatility in some European …

market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an … empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By … introduction of the option market had no effect on the volatility in the EU ETS. These finding are robust to other likely …