Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the … hypothesized that there are movements in risk that are driven by volatility linked to sentiment-driven noise trader activity whose … investor sentiment and stock return volatility which shows that behavioural finance can significantly explain the behaviour of …

We explore the stock market and option implied volatility response of the oil and gas industry to four policy events … Drilling (CAAR -10.5%) most severely affected. This is further supported by an increase in implied volatility and by a …

factors capture mispricing by being long on overpriced stocks and short on underpriced stocks. Option-implied volatility …

on subsequent stock market returns and exacerbates stock market volatility. Furthermore, stocks with large, negative …

asymmetric volatility under short-sale constraints. If so, what are the driving factors in the Korean fund market? Fund return … short-sale constraints using asset-allocating strategies. The results of the GJR-GARCH model show an asymmetric volatility … volatility. Furthermore, the results of this study are consistent with the model of Hong and Stein (2003), which predicts that …

idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). We find that surprisingly many existing … puzzle in individual stocks and 78-84% of the puzzle in idiosyncratic volatility-sorted portfolios. Our methodology can be …

This study examines the relationship between excess return volatility and economic policy uncertainty in U.S using … return volatility and economic policy uncertainty. The casualty test indicates that economic policy uncertainty Granger …-causes excess return volatility. The vector error correction model result shows that previous values of economic policy uncertainty …