In this paper, we examine how to quantify asymmetries in volatility spillovers that emerge due to bad and good … volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric … connectedness of stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different …

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 …

From 1991 to 2006, U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility … in a country can be higher than the stock return volatility of a similar firm in another country for reasons that … contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that …

. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … volatility process of the index, using augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results … macroeconomic variables explain the VKOSPI. More importantly, we find that the stock market return and implied volatility index of …

The link between capital controls and stock market volatility is examined using frequency domain techniques …. Conventional analyses of the second moments can produce spurious results if the high-frequency volatility is reduced (increased …) while the overall volatility is increased (reduced) …

in the volatility, from the largest market of Saudi Arabia to Qatar and the two markets in the UAE, which confirms that …