with multi-price continuous trading on intraday volatility–volume patterns as well as the intraday volatility–volume nexus …) disturbance regression estimations. The results show that intraday volatility and trading volume form an inverse J-shape and are … positively correlated. It is observed that the implementation of the regulation change decreased intraday volatility and …

. Announcements of both institutes are also clearly and immediately reflected in the volatility, which remains at a significantly … higher level for approximately two minutes slightly elevated for approximately 15 minutes. Combining returns and volatility … in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …

This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If …

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 …

examination of the relationship between momentum returns and idiosyncratic volatility (IVol) is conducted to determine whether …

exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …-to-market, momentum, short-term reversal, volatility, or option market factors …

We examine the market for U.S. equity real estate investment trusts (REITs) for evidence of the volatility effect, in … which low volatility stocks tend to outperform high volatility ones, as has been found in the general equity market by prior … research. While there is some evidence of a volatility effect in the first ten years of the sample, this disappears in a more …