of analyst activities on idiosyncratic volatility (IVOL) anomaly. Our results show that the inverse relation between IVOL …

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 …

This paper examines time-varying stock price and volatility dynamics of constituent industry sector indices in the … of return during rises in aggregate stock market volatility. Finally, this paper identifies which industries exhibit the … highest degree of volatility persistence and how this impacts their respective beta estimates. It shows time-dependence in …

modelling time series with time varying volatility. These include financial data, which can be particularly heavy tailed … returns appear to be associated with a higher level of volatility. Testing the relationship between stock returns and … unexpected volatility, the evidence shows that the Industrial Stock Market has significant results whilst the Mining Stock Market …

findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the …

exchange rate, interest rate, money supply, and oil prices on volatility in their stock markets. Investor can search for …

market volatility. A relatively high return dispersion predicts a deterioration in business conditions, a higher value …