and on days with high volatility. In addition, we assess the effect of algorithmic trading on market quality around …

distinct responses in market activity, volatility, bid-ask spreads and returns. Classification of news according to indicated … relevance is critical to identify significant effects. Reaction of market activity, volatility and spreads is greatest for …

We conducted a comprehensive analysis on the sequential introductions of dynamic and static volatility interruptions … investors from brief periods of abnormal volatility for individual stocks. We found that dynamic VI is effective in price …

conditional volatility pattern of the Malaysian stock index over the period from 1994 to 2004. In an attempt to isolate the effect … the three sub periods and provide strong explanation for both return volatility pattern on Malaysian capital market. While … post crisis period only. While volume serves as mixture of distribution explaining return distribution and volatility …

profitability, distress, lotteryness, and volatility anomalies, influencing their returns via the channel of idiosyncratic skewness …

We decompose global stock market volatility shocks into financial originated shocks and non-financial originated shocks …. Global stock market volatility shocks arising from financial sources reduce substantially more global outputs and inflation … than non-financial sources shocks. Financial stock market volatility shocks forecasts 16.85% and 16.88% of the variation in …

impact of introduction of index futures and index options trading on the underlying spot market volatility are empirically … analysed. Conditional and unconditional volatility of Borsa Istanbul 30 Index is examined using GARCH model starting from its …