total volatility for the Thai baht and 46 per cent for the South Korean won. Indonesia is found to be the most affected in …

attract uninformed speculative investors and thus destabilise cash markets by increasing volatility. On the other hand, it has … discovery, allow the transfer of risk, and may actually reduce spot volatility. The empirical evidence is controversial and has … Athens Stock Exchange, employing a methodology that allows the examination of changes in the nature of volatility rather than …

(GARCH) models, the model that best describes the Indian stock market volatility by (a) building volatility models using the … may be preferable to explaining time-varying volatility in Indian stock returns data. (c) Another feature typical of the … return variance, contributing almost one-fourth as much to volatility as any trading day. …

investigate the impact of index futures trading on the volatility of the spot market in China. Our three main findings are as … follows: (1) the launch of index futures does not decrease the volatility of the spot market; (2) there is a decrease in …

This paper intends to study volatility and its spillover among South Asian Countries through use of Granger causality … models asses the impact of recession on the nature of volatility by decomposing the long period into two sub periods. The … recession has created higher shock impact on the permanent component of the volatility of stock market of all South Asian …

A multivariate VAR-EGARCH is used to examine the returns and volatility dynamics between thin-traded adjusted equity … Kenya, and between Nigeria and South Africa. In addition, Nigeria appears to be the source of volatility innovations in … Ghana, Kenya and South Africa. Own market volatility is pronounced, and volatility is highly persistent in all four markets …

We determine the events that cause large shocks in volatility of the DJIA index over the period 1928–2013, using a new … extraordinary movements by the investors due to their occurring during high volatility episodes, especially the 1929–1934, 1937 …

The wave of electoral volatility which swept across most of the West European polities in the late 1960s and 1970s has …, and party system change, on the other. Second, the problem of treating measures of electoral volatility as indicators of …-Rokkan `freezing' hypothesis. Third, the problem of determining the level of electoral volatility which actually `matters' in …