.... Application of explainable artificial intelligence (XAI) helps identify feature contributions. Findings We find that historic volatility, expected market uncertainty, oscillators and macroeconomic variables explain different components of stock prices and their impact varies with the industry...

...Hilal Anwar Butt; Mohsin Sadaqat; Muhammad Tahir Purpose The main purpose of this study is to enunciate the underlying factors that enhance the performance of scaled momentum strategies. Design/methodology/approach In previous studies, the negative relationship between the lagged volatility...

...Yi Luo; Yirong Huang Purpose The purpose of this paper is to explore whether stock index volatility series exhibit real long memory. Design/methodology/approach The authors employ sequential procedure to test structural break in volatility series, and use DFA and 2ELW to estimate long memory...

...Worawuth Kongsilp; Cesario Mateus Purpose The purpose of this paper is to investigate the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Design/methodology/approach Using a broad sample of stock...

...David G McMillan; Pornsawan Evans Purpose – The purpose of this paper is to examine the nature of equity ownership of state-owned enterprises (SOEs) for over 2,000 listed firms in China. The paper examines both the pattern of state ownership and the dynamics of stock returns and volatility. Firms...

...Heping Pan Purpose The purpose of this study is to discover and model the asymmetry in the price volatility of financial markets, in particular the foreign exchange markets as the first underlying applications. Design/methodology/approach The volatility of the financial market price is usually...