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Keywords: Expected volatility
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Journal Articles
Journal:
Journal of Financial Economic Policy
Journal of Financial Economic Policy (2018) 10 (4): 438–455.
Published: 30 May 2018
... highlight that the volatility has symmetric impact on stock returns during the pre-crash period and asymmetric impact during the post-crash period. While testing the relationship of stock returns, a significant positive (negative) relationship is found with expected volatility during the pre-crash (post...
