increase in price volatility as well, however, under certain conditions. Price changes from pyramiding effect are also …

in India. Volatility in the NSE Nifty index and that in its futures market are both seen to exhibit features of mean … reversion, volatility clustering and a fair degree of volatility persistence, estimates of which give an idea of the impact and … duration of a particular information shock to the market. The returns volatility is found to exhibit significant asymmetric …

We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized … volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the … Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of …

Our paper investigates the nexus between the CBOE Volatility Index (VIX) and the market leverage of firms listed on the … approaches for the panel models firmly support our findings. In addition, our research suggests that the implied volatility index …

. News volume and volatility amplify this attention gap. Attention appears causally related to perceived proximity: first … fewer flights after the outbreak. Finally, local attention predicts volatility, bid-ask spreads and nonlocal attention, not …

, the author argues that there is a relationship between HFT, increased market volatility, fall in trading activity …