The main goal of this paper is an examination of the interdependence stuctures of stock returns, volatility and trading … information arrival process with long memory. Correlation between volatility and trading volume is present for all the stocks of … extreme return-volume dependence structures. The empirical results reflect significant dependencies between high volatility …

volatility and volatility transmission between oil and Ghanaian stock market returns in a multivariate setting using the recently … significant volatility spillover and interdependence between oil and the two stock market returns. While spillover effects are … stronger for Nigeria, the transmission of volatility is much more apparent from oil to stock than from stock to oil in the case …

naked short selling raises both volatility and bid-ask spread, (3) disclosure requirements raise volatility and reduce …

two measures: continuous volatility and discontinuous jumps. Focusing on the euro-dollar exchange rate, we provide …. Continuous volatility starts reacting prior to the news, intensifies around the release time and stays at high levels for several … volatility are mostly driven by the communication of the Euro area officials rather than US authorities. …

literature comparing SRI to various benchmarks, very little is known about the volatility dynamics of socially responsible …

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …

The main goal of this study is to investigate the asymmetric impact of innovations on volatility in the case of the US …

herding all contribute to market volatility in price and return and volatility clustering, but their impact are different. On … switching reduces the return volatility and an initial increase in switching reduces the price volatility and increases the …

This paper examines the link between research and development (R&D) and idiosyncratic volatility for a panel of large … idiosyncratic volatility higher. Our results show that R&D investment intensity should be considered as a determinant of the … idiosyncratic volatility and that R&D increases the riskiness of the firm. …

the volatility of US stock market during the subprime crisis is significantly transmitted to Asian and European financial … markets. Moreover, UK and Swiss financial markets present an important role in emitting volatility to Asian markets. In …. All residuals showed enhanced volatility during the financial crisis period of mid 2007-2008. Moreover, the cross …