addition, conditional return volatility is significantly affected by lagged volatility rather than sentiment changes …

Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …

Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …

intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF regressions, we examine the … volatility dynamics. We find that Indian stock market exhibits 'reverse J' shaped intraday volatility with much higher intraday … to small cap stocks. Higher volatility is also observed in the first one-hour of trade after weekends, in the first half …

In this article the relationship between market return and volatility is examined by applying out-of-sample methodology … unexpected volatility and monthly returns in most of international exchanges. I didn't also find any significant relationship … between forecasted volatility and monthly returns. The results contradict the asset pricing theories which explain a positive …

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 …

The idiosyncratic volatility anomaly, as first documented in Ang, Hodrick, Xing, and Zhang (2006), has received … provide evidence towards distinguishing potential explanations. Our results show that the idiosyncratic volatility anomaly is … addition, we show that the idiosyncratic volatility anomaly is not due to the market microstructure effect and cannot be …

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

Previous research indicates that performance and volatility of small and regional stock markets can be influenced by … bubble, and a great recession which followed after. Significant volatility of SASE was noted in 2007 while later periods … suggest lesser volatility after a significant drop in index value in mid 2007. The data was analyzed in a side by side …

We establish a direct link between the idiosyncratic volatility (IVol) puzzle and the behavior of sophisticated and …