observed in the stock market volatility. In this paper we perform a panel data analysis on a sample of large European banks … finding that in 2016 the model for the stock market volatility changes and the changes can be theoretically consistent with … the introduction of the BRRD. Moreover Italy shows an even larger volatility. This could be due to the strong presence of …

volatility and its trend has been reversed afterwards. Our analysis yields three main results. Firstly, it appears that all four … volatility. While the role of variance of ROE is comparatively stable across both the sample periods and the group of stocks …

The well-documented negative association between idiosyncratic volatility (IV) and stock returns is puzzling if …

amplitude of these price variations to be market volatility and trade duration. By contrast, trade size and execution speed, as … dependence in terms of the well-known square-root scaling of volatility as a function of duration. Our explanation is consistent … more meaningful to focus on the modelling of aggregate order flow dynamics and the management of portfolio volatility …

-varying conditional volatility for Boursa Kuwait (BK). The test results were mixed. As the mixture-of-distribution hypothesis (MDH …) implies, the inclusion of a contemporaneous volume in the equation of conditional variance reduces the persistent volatility … development and the level of transparency on the strength of the volume–volatility relation. The findings also show no significant …

Tests of excessive volatility along the lines of Shiller (1981) and Leroy and Porter (1981) count among the most …

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …