...Thomas Dimpfl; Dalia Elshiaty Purpose Cryptocurrency markets are notoriously noisy, but not all markets might behave in the exact same way. Therefore, the aim of this paper is to investigate which one of the cryptocurrency markets contributes the most to the common volatility component inherent...

...Petros Messis; Achilleas Zapranis Purpose – This study aims to investigate the existence of herding in the Athens Stock Exchange over the 1995-2010 period and examine its effects on market volatility. Design/methodology/approach – Herding is examined over portfolios formed on beta and size...

...Charles K.D. Adjasi Purpose The purpose of this paper is to analyse the impact of macroeconomic uncertainty on stock‐price volatility in Ghana. Design/methodology/approach The method of analysis is in two stages. The first stage estimates univariate volatility models for each macroeconomic...

...Anthony Kyereboah‐Coleman; Kwame F. Agyire‐Tettey Purpose The present study aims at using a broader data set and longer time frame coupled with a relatively rigorous and robust methodology to examine the effect of real exchange rate volatility on foreign direct investment (FDI) in a small...

... also illustrated using examples and simulation studies. Volatility modeling is the subject of the paper. Findings The kurtosis of stationary processes with GARCH errors is derived in terms of the model parameters (ψ), Ψ‐weights, and the kurtosis of the innovation process. Hypothesis...

... and short trading positions. Design/methodology/approach The risk management techniques are designed to capture the main characteristics of asset returns, such as leptokurtosis and asymmetric distribution, volatility clustering, asymmetric relationship between stock returns and conditional variance...

...′). In equilibrium, the match is efficient in the sense that given the type distribution, it maximizes aggregate net output and aggregate surplus is also maximized. © Emerald Group Publishing Limited 2005 Volatility Financial information The benefits of hierarchy flow from the fact...