Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …

The estimated relation between idiosyncratic volatility and realized return captures its relations with both expected …

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 …

Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR … stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE …

impact. Stock options on firms with establishments exposed to the landfall region exhibit increases in implied volatility of …

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

Recent empirical evidence has shown that the relationship between idiosyncratic volatility and a stock's expected …