volatility impact of DAX futures trading. Our results confirm a volatility-reducing impact of DAX futures trading, whereas the … stability ; financial market volatility ; GARCH ; stock index futures ; derivatives …

macroeconomic announcements. The analysis of price volatility, returns, trading activity and bid-ask spreads finds that the … immediately prior to the announcement exhibits high volatility, low levels of volume, and high bid-ask spreads. In the 30 seconds … following the scheduled announcement there is strong evidence of a sharp increase in price volatility, significant positive …

distinct responses in market activity, volatility, bid-ask spreads and returns. Classification of news according to indicated … relevance is critical to identify significant effects. Reaction of market activity, volatility and spreads is greatest for …

volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the … seasonality returns (Day-of-the-Week effect) and the volatility structure.Design/methodology/approach - The analysis of data is … demonstrate that the debt crisis and, therefore, its consequences increase the FTSE/ASE 20 index volatility and the Greek market …

demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is … correlation. This model shows short- and long-term volatility persistence for oil and stock prices, together with spillover …

While many studies analyze the impact of scheduled macroeconomic announcements on equity market volatility, few focus … events and the implied volatility indices VDAX and VIX. We find that both indices fall on announcement days, with the … strongest reactions occurring during the financial crisis from 2008 to 2009. Further, we identify a volatility spillover effect …

inopportune time. We examine the linkages between global stock markets using measures of market uncertainty (implied volatility …). Using daily changes in G7 and BRIC implied volatility measures, over a 17-year sample period, we demonstrate that …

price limits (from ± 10% to ± 5%) significantly reduces annualized volatility by 6.5 basis points (t =5.00) yet increases …-run price limits are effective in reducing volatility and improving firm value yet causing delayed price discovery and lower …