tractable and qualitatively matches many of the empirical regularities in a stock price, its mean return, volatility, and … to a higher stock volatility and trading volume. We demonstrate that otherwise identical two-investor heterogeneous …

This study investigates the impact of price limits and trading halts (circuit breakers) on the returns volatility of …-2010. Results indicate that the introduction of price limits and trading halts moderated the volatility in the market. More … significantly, price volatility of equity returns reduced as the price limit symmetric band was increased from 5 percent to 10 …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

average through news. In times of high ambiguity, the magnitudes of each effect is larger, and the volatility of stocks around …

stock market uncertainty, specifically the implied volatility (IV) from equity index options and detrended stock turnover …

volatility. Our findings indicate that a negative relation between equity market returns and volatility prevails even after … having controlled for the time-varying determinants of conditional volatility within each regime. We also find an asymmetry … in the effect of price range on intra- and inter-regime return volatility. While price range has a stronger effect in the …

U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility can be higher for … reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth …. We find that the volatility of U.S. firms is higher mostly because of good volatility. Specifically, firm stock …