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Keywords: Market volatility
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2023) 12 (1-4): 203–223.
Published: 08 August 2023
... of fundamental factors and investor sentiment in driving the observed fluctuations in volatility. Idiosyncratic volatility Industry volatility Market volatility Market microstructure C12 E44 G12 Our paper “Have Individual Stocks Become More Volatile? An Empirical Exploration...
Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2023) 12 (1-4): 125–170.
Published: 08 August 2023
.... In doing so, we provide further insight into IV and its time-series trends. We compute the sample market volatility (MKT t),the sample industry volatility (INDt),and the sample firm volatility (FIRMt ) using the same approach as CLMX. Unless otherwise...
