using inflation-induced equity market volatility (EMV) to better account for bond price determinants. The regression model …, a GED-GARCH (1,1) procedure, is adopted to deal with the volatility clustering and fat tail features in bond return … the domestic market (expect in Japan). This study introduces the equity market volatility arising from inflation or the …

attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …

fragmentation on two types of investors optimization problems: “intermediary” high-frequency and “final” investors. Volatility has a …, and indirectly via total volatility. A shock in fragmentation may lead to a decrease in trading volume, enhanced in the … case of an equity markets crisis by a rise in the components of volatility …

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our …

contributing to the intraday pattern of contemporaneous correlations, including volatility, autocorrelations and lagged cross …

the influence of volatility asymmetries caused by the Taiwanese government's naked short sale restrictions. Intraday data … asymmetric volatility. However, asymmetric volatility of middle and small sized stocks decreases around the naked short sale ban …

The paper examines empirically the impact of price limits and trading halts on stock market volatility. Circuit … breakers are regulatory instruments aiming to reduce severe price volatility and provide markets with a cooling off period … investigates the impact of the regulatory instruments on conditional volatility estimation. The findings do not provide sufficient …