...João Silva; Lígia Febra; Magali Costa Purpose This study aims to advance knowledge on the direct impact of the investor’s protection level on the stock market volatility, that is, whether investor’s protection is an important stock market volatility determinant. Design/methodology/approach...

...Ali Murad Syed; Hana Saeed Bawazir; Ibrahim Tawfeeq AlSidrah Purpose The study aims to explore the relation between dividend policy of any company and its stock volatility. Design/methodology/approach Companies listed on six GCC stock markets are used in the analysis and the data ranges from...

...Jang Hyung Cho; Robert Daigler; YoungHa Ki; Janis Zaima Purpose The purpose of this paper is to assess trading strategies adopted by each large trader group and examine their effects on the volatility in the interest rate futures markets. Design/methodology/approach The Grinblatt et al...

...Irma Malafronte; Maria Grazia Starita; John Pereira Purpose This paper aims to examine whether risk disclosure practices affect stock return volatility and company value in the European insurance industry. Design/methodology/approach Using a self-constructed “risk disclosure index for insurers...

... operates under severe limits to arbitrage. Specifically, the authors examine how return autocorrelation of Saudi Arabian stock market is related to factors such as the day of the week, stock trading, performance on the preceding day and volatility. Design/methodology/approach The sample consists...

...Omid Sabbaghi Purpose – This paper aims to examine the nexus between the pricing of market-wide volatility risk and distress risk in the cross-section of portfolio returns for the 1990-2011 time period. The author expands upon prior research by constructing an ex post factor that mimics aggregate...

...Unyong (Howard) Pyo; Yong Jae Shin Purpose This study aims to focus on the profitability of momentum trading in the Korean stock market. More specifically, it aims to conduct an examination of the relationship between momentum returns and idiosyncratic volatility (IVol) to determine whether...