The financial markets stylized facts, volatility and its relationship with returns tested empirically in Tehran Stock …, 1) - EGARCH (1, 1) are used to determine the process of stock returns and volatility, and by applying ARCH(M) class … models and out-of-sample methodology the relationship between stock return and volatility is examined. The key findings are …

This paper examines the interrelation between short selling and volatility as differing from previous research in that … beginning of opening sessions, which significantly impacts the volatility of the market for the rest of the trading day …

This paper estimates the day-of-the-week effect on the market return, volatility of market returns and trade volume of … exist in case of market return, volatility of market return and trade volume over the study period of 2005 to 2018. It is … evident that lowest return, highest volatility, and lowest trading volume occur on the Sundays. Returns of Mondays and …

Previous research indicates that performance and volatility of small and regional stock markets can be influenced by … bubble, and a great recession which followed after. Significant volatility of SASE was noted in 2007 while later periods … suggest lesser volatility after a significant drop in index value in mid 2007. The data was analyzed in a side by side …

years. Second, they argued that such emerging market returns suffer from high volatility.This paper aims to investigate the … the validity of value-glamour strategy using book-to-market equity and explore the effect of stock volatility on portfolio … returns. This contribution to the extant literature is significant since it introduces stock volatility as a potential …

In this paper, we examine the effects of price limits on the stock volatility in ASE. We put forward two hypotheses … stock volatility; and the overreaction hypothesis, which assumes that investors tend to overreact to new information, so … that price limits give them time to reassess the information and reduce stock volatility. Our results show strong support …

investigate the relationship between stock return volatility and trading volume have found a positive correlation between the … volatility of returns and the volume traded. This paper focuses on this relationship by assuming the Student’s t and the Stable … National-100 Index with the purpose of analyzing the relationships between the volatility of stock returns and the trading …

return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified …-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is …

Understanding the pattern of stock market volatility is important to investors as well as for investment policy …. Volatility is directly associated with risks and returns, higher the volatility the more financial market is unstable. The … volatility of the Zimbabwean stock market is modeled using monthly return series consisting of 109 observations from January 2010 …