inopportune time. We examine the linkages between global stock markets using measures of market uncertainty (implied volatility …). Using daily changes in G7 and BRIC implied volatility measures, over a 17-year sample period, we demonstrate that …

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …

stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic …

time-varying parameter vector autoregression with stochastic volatility. The empirical analysis reveals several new …

The portfolio of low-volatility stocks earns high risk-adjusted returns over a full market cycle. The annual alpha … spread of low versus high-volatility quintile portfolios is 25.53% in the Indian equity market for the period from January … 2000 to September 2018. The low-volatility (LV) effect is not an overlap of other established factors such as size, value …

This paper analyzes the volatility of stock returns on the Belgian stock exchange during the period April 1991 to April … 2008. The empirical analysis showed that there is a mean and volatility spillover effect from the big European markets … Euronext stock exchange in September 2000 has affected the conditional volatility. Finally, the structural analysis of …

Volatility is essential to consider uncertainty surrounding investments in financial assets. For this reason, financial … volatility. Against this background, this paper investigates the volatility of returns on the Zimbabwean stock market between … January 2020 and January 2022. We use the All Shares Index for Zimbabwe Stock Exchange (ZSE) for volatility analysis and …

This paper examines the trading volume and return and volatility relationship on the Stock Exchange of Mauritius (SEM … trading volume and volatility has been found, therefore support of the Mixture-of-Distributions hypothesis and the Sequential …