variables in terms of dollar trading volume and volatility. The scaling laws are illustrated using data on bid-ask spreads and …

We suggest that price interaction among stocks is an important determinant of idiosyncratic volatility. We demonstrate … idiosyncratic volatility. The results of various robustness checks indicate that the effect of price interaction is still … significant to the presence of liquidity, newly listed firms, cash flow variables, business cycle variables, and market volatility …

In this article, we examine dynamic relationships between volatility and various microstructure measures of trade … Participation Shares. When volatility is conditioned on number of trades and quoted liquidity, trading volume provides no … volatility. Measures of quoted liquidity also play a significant role in explaining intra day volatility. Bid-ask spreads and …

This paper studies the dynamics of stock market volatility and retail investors' attention to the stock market, where … co-movement of the Dow Jones' realized volatility and the volume of search queries for its name. Furthermore, search … queries Granger cause volatility: a heightened number of searches today is followed by an increase in volatility tomorrow. We …

Stock market volatility is not constant over time. It exhibits cyclicality, with higher volatility in bear market … cycles and lower volatility in bull market cycles. Failure to take into account this cyclicality would lead to sub … in market volatility using a simple 2-stage Markov model. The approach is significantly more intuitive and tractable than …

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 …

The study examines the behavior of stock returns and volatility of returns in CSE around both Presidential and … with return and volatility dummies is employed for estimation. The study produces mixed results as for the abnormal returns … evidence for upward movement of the volatility of returns around both Presidential and Parliamentary elections. Furthermore …

This study examines the impact of terrorism on stock returns and volatility from an econometric perspective. Taking …-varying volatility effect. The attacks are chosen based on the number of civilians killed, whether the attacks are targeted at … attacks and the volatility of stock returns is also significant when all types of attacks are put together, though the results …