...Wei Feng; Travis L. Jones Purpose Over time, Real Estate Investment Trusts (REITs) have exhibited a relatively weak correlation with the broader stock market and are often considered a hedge against market volatility. However, empirical evidence does not fully support the classification of REITs...

...Maria-Encina Morales-de-Vega; Maria-Carmen García-Centeno; Ricardo Palomo-Zurdo Purpose The objective of the research is analyzing the behavior of volatility in insurers during two very different situations, COVID-19 and Brexit, and evaluating how the chief executive officer's (CEO) gender...

...Vivek Bhargava; Mukesh Chaudhry; Daniel Konku Purpose This study investigates the relationship between return volatility and the trading volume for DJIA and the S&P 500 indices using intraday, overnight and daily volatility measures. Design/methodology/approach This paper uses several...

... interdependencies between exchange rates and stock market return. Finally, they use various GARCH models, including the EGARCH and TGARCH models, to determine whether there exist volatility spillovers from exchange rate fluctuations in various markets to the volatility in the US stock market. Findings Using...

... February 8, 2021, are analyzed. A bivariate structural vector error correction model and generalized autoregressive conditionally heteroscedastic model are combined and extended by adding the volatility of the growth rate of daily oil prices as an explanatory variable for the growth rates of energy prices...

...Guilherme Cardoso; Karem Ribeiro; Luciano Carvalho Purpose Risk management has been crucial to investors and regulators for pursuing market diversification opportunities and developing strategies to ensure market stability. This study examines the dependence structures of volatility, related to co...

... participants to figure out the mechanism of volatility transmission through time and via these series for the purpose of taking optimal decisions of portfolio allocation. The outcomes drawn reveal an important volatility transmission between sovereign bond and oil indices, with great sensitivity during...

... and characteristics of connectedness in the Korean financial sector. This work then demonstrates the impacts of connectedness on volatility and price discovery in the stock market. Design/methodology/approach The entire Korean financial sector is analyzed from January 1990 to July 2015, including the periods...

...Silvio John Camilleri Purpose – The purpose of this paper is to empirically investigate whether call auctions which batch orders for simultaneous execution, may restrain stock market volatility. Design/methodology/approach – The authors use high-frequency data to investigate volatility...

...Fotios Pasioura; Chrysovalantis Gaganis; Constantin Zopounidis; Panayotis Alexakis; Anna Vasila Purpose The paper aims to investigate European equity market integration by analyzing volatility spillover effects between selected indices of high liquidity from the major regulated European equity...

...Mahmod Qadan; Joseph Yagil Purpose The purpose is of this paper is to investigate whether the tracking ability of exchange traded funds (ETFs) is lower in highly volatile periods, and to shed more light on the factors behind the tracking error. Design/methodology/approach The authors apply...

... of the Euronext merger to explain this topic by studying this merger and its effect on Euronext's market risk (measured by volatility). Design/methodology/approach The paper uses a standard General Auto‐regressive Conditional Heteroskedasticity (GARCH (1,1)) process to study the volatility of the underlying...

... period of the financial crisis but also for the period of high volatility of stock market returns. Thus, the blame for financial crisis should not be cast upon quantitative techniques, used to measure and forecast market risk, alone. Practical implications Knowledge of modern risk management...

... to investigate the comovement of hedge fund index returns. Design/methodology/approach The paper identifies broad hedge fund investment strategies using data from the Dow Jones Credit Suisse Hedge Fund Database. It examines the return comovement using the cross‐sectional volatility, covariance...

...Shuangzhe Liu; Milind Sathye; Isao Ishida; Michael McAleer; Kosuke Oya Purpose The purpose of this paper is to propose a new method for estimating continuous‐time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high‐frequency observations of both the S...

...Elizabeth A. Maharaj; Don U.A. Galagedera; Jonathan Dark Purpose The purpose of this paper is to examine the volatility of daily returns in a sample of developed and emerging equity markets at different time scales through wavelet decomposition. Such information is vital for international...

...Suzanne G.M. Fifield; David M. Power; David McMillan; Pako Thupayagale Purpose The purpose of this paper is to estimate volatility in African stock markets (ASMs), taking account of periodic level shifts in the mean level of volatility, where the regime shifts are determined endogenously...

...Richard A. Michelfelder; Saurin Pandya © Emerald Group Publishing Limited 2005 Emerging stock markets GARCH Skewness Kurtosis Volatility Managerial Finance 66 Volatility of Stock Returns: Emerging and Mature Markets by Richard A. Michelfelder, Assistant Professor of Finance...

... aspects of the Malaysian bank merger program, and tracked as well as evaluated the effects of the program on the volatility of the Malaysian bank stock returns. It was found that the proposed merger did bring about stability for the banks’ stock prices and returns, especially after the initial...

... mechanism across markets. The results have shown that since 1990 there has been a stronger linkage among major bond markets at the volatility level. Evidence that globalization has seriously affected the behavior of interest rates and made them more synchronized across countries is suggested from the way...