financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover … among the stock markets in the countries from Central and East Europe (CEE) and Germany and France with the aim to identify … proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical …

models (in the case of Spain) confirmed that the COVID-19 pandemic increased the volatility of stock market return. This …

Objective To diagnose the relationship between futures contract trading and the volatility of stocks in the Bank Nifty … and spot market volatility. Findings The analysis revealed that out of the six banks analyzed, just two demonstrated a … statistically significant influence of future trading on volatility, while the remaining four did not exhibit any such relationship …

In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the … and transportation equipment indices). The findings highlighted causality in variance (volatility spillover) among the … variables. We revealed that volatility could also spread indirectly among the variables (from one variable to another through a …

This paper develops a test that helps assess whether the term structure of option implied volatility is constant across … "volatility smile" and an additive quadratic time effect is a statistically adequate depiction of the implied volatility data for … most years. The constancy of implied volatility term structure, in turn, implies that option traders shall feel confident …

economic aspects of the world. This study investigated the Islamic stock market's reaction and changes in volatility before and … nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized … hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by …

.e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility … estimation show that, in the first and second subperiods that cover from 6/2013 through 5/2016, equity market volatility in the … US, UK, France, and Germany responded to structural shocks to the VIX. Nonlinear Granger causality tests confirm these …

This study explores volatility spillovers and financial connectedness between conventional and Islamic equity stock … returns and volatility. However, for Islamic stocks, France and the USA found to be the top transmitter and receiver of the … study comprehensively explored the static and dynamic volatility spillover effect between Islamic and conventional stock …

intends to provide a parallel comparison of volatility change and external shock persistence of the Islamic and conventional …). An optimally parameterized GARCH (1,1) model is used to measure volatility change for both the pre- to post …