comovement using the cross‐sectional volatility, covariance, and correlation metrics proposed in Adrian (2007). In addition, the … paper examines whether correlations and covariance are important determinants of future volatility via traditional time … average correlations, stemming from an increase in hedge fund volatility, is documented. The time‐series regressions are …

only for the pre‐2008 period of the financial crisis but also for the period of high volatility of stock market returns …

this topic by studying this merger and its effect on Euronext's market risk (measured by volatility). Design … volatility of the underlying markets and use break methodology to highlight the merger effects. It also adds control samples to … account for any change in volatility that could be caused by factors other than the merger event. Findings – The results …

positively correlated with the daily volatility of the ETF, while trading volume has a limited effect on reducing tracking errors …

Purpose – The paper aims to investigate European equity market integration by analyzing volatility spillover effects …

simultaneous execution, may restrain stock market volatility. Design/methodology/approach – The authors use high-frequency data to … investigate volatility changes following the suspension of opening and closing call auctions on the National Stock Exchange (NSE …) of India in 1999. The authors evaluate this issue by considering both modelled and realised volatility. Using a GARCH …

volatility and business group affiliation are statistically significant determinants of the firm's acquisition decision. Earnings … volatility follows inverted “U” curvilinear relationship with a firm's propensity to bid for acquisition and business group … affiliation is a quasi moderator, i.e. has both direct and moderating impact on earnings volatility and acquisition likelihood …