specifically, it aims to conduct an examination of the relationship between momentum returns and idiosyncratic volatility (IVol) to … size, stock price, and turnover are controlled to determine robustness. Finally, a time‐series relationship between …

Purpose – This paper aims to examine the nexus between the pricing of market-wide volatility risk and distress risk in … constructing an ex post factor that mimics aggregate volatility risk based on the new VIX index of the Chicago Board Options … Exchange, termed FVIX, as well as focuses on volatility risk in crisis versus non-crisis time periods. Design …

is related to factors such as the day of the week, stock trading, performance on the preceding day and volatility. Design …/methodology/approach The sample consists of the daily stock price and index data of 159 firms listed in Tadawul (Saudi Arabian Stock Exchange …

the relationship of this bias with stock market indicators like risk premium, market return and volatility using time … shows that high past volatility can lead to pessimism in the Indian equity market and vice versa. It further explores that …

Purpose While a lot is known about organizational growth, little is understood about how to manage volatility that … al. (2014), offers crucial insights about managing volatility for firms trying to grow at the pace of technological … changes. An attempt is made to highlight the differences of growth and volatility in a language that is easily comprehensible …

stock returns; and volatility persistence can significantly improve the common risk factors' impact in explaining the time …. A general equilibrium model that incorporates volatility exposure in a Fama‐French framework would be a challenging task … common stocks is widely known, the approach is the very first that extends its support with respect to volatility models.  …

Purpose – The purpose of this paper is to examine volatility transmissions between portfolios of cross‐listed equities … and exchange rate differences and also the volatility persistence for home, foreign equities, and exchange rate … impact first on the volatility persistence for foreign equities that are listed in the UK and German markets, second on the …

Purpose – The purpose of this paper is to analyze volatility transmission between the Japanese stock and foreign … study period 1994‐2007, it was found that news shocks in the Japanese currency market account for volatility transmission in … industries. Research limitations/implications – While the BEKK‐GARCH model enables analysis of volatility transmission between …