stock returns; and volatility persistence can significantly improve the common risk factors' impact in explaining the time …. A general equilibrium model that incorporates volatility exposure in a Fama‐French framework would be a challenging task … common stocks is widely known, the approach is the very first that extends its support with respect to volatility models.  …

Purpose – The purpose of this paper is to examine volatility transmissions between portfolios of cross‐listed equities … and exchange rate differences and also the volatility persistence for home, foreign equities, and exchange rate … impact first on the volatility persistence for foreign equities that are listed in the UK and German markets, second on the …

Purpose – The purpose of this paper is to analyze volatility transmission between the Japanese stock and foreign … study period 1994‐2007, it was found that news shocks in the Japanese currency market account for volatility transmission in … industries. Research limitations/implications – While the BEKK‐GARCH model enables analysis of volatility transmission between …

Purpose – The purpose of this paper is to examine the impact of the future of trading on volatility as well as the …. The Run and ACF tests are used to see impact on market efficiency. GARCH M model is used to see the impact on volatility … M implies that the market doesn't provide higher returns during the high volatility period. The results of the Run test …

Purpose – The purpose of this paper is to test whether the volatility of regional stock markets’ is common or country … the fluctuations of common component of stock market volatility. Design/methodology/approach – The paper applies the time …-varying weighting methodology of Lumsdaine and Prasad (2003) to determine whether the volatility fluctuation is country-specific or …

dividend growth rate can help better understand the large average equity premium and stock return volatility in the US …-free interest rate, equity premium and stock return volatility that are close to the stylized facts in the US financial market … study whether the calibrated model can help explain the large average equity premium and stock return volatility in the US …

Purpose The relationship between short selling, market volatility and liquidity remains an object of intensive research … paper aims to contribute to the debate by investigating the impact of short selling on market volatility and liquidity in …-level elements to provide a more comprehensive understanding of the impact of short selling on market volatility and liquidity …

long for the volatility forecasting studies. It is one of the earliest attempts to examine the impact of market conditions …

Are share markets too volatile? While it is difficult to ignore share market volatility it is important to determine … whether volatility is excessive. This paper replicates the Shiller (1981) test as well as applying standard time series … excess volatility, time series analysis identifies a long‐run relationship between share market value and dividends …