creating unique volatility dynamics through direct information spillover. We analyze the volatility dynamics and spillover … volatility, on Tel-Bond 20 Index returns and volatility. A bivariate diagonal Baba-Engle-Kraft-Kroner (BEKK) model is also … applied to capture time-series integration and cross-volatility spillovers between the TA-35 Index (stocks) and the Tel …

growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …

volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile … and negative investor sentiments and stock market returns and volatility. Specifically, an increase in positive investor …. The effect of investor sentiment on volatility is consistent across the distribution: negative sentiment increases …

volatility of Thailand and Indian Stock Market. It also analysed whether both countries were reacting similarly to the pandemic … models were used to assess the volatility of both markets. The study revealed that the negative shocks had greateraimpact on …

This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the … to consider the impact of market-wide investor sentiment on volatility and returns. …

The oil price volatility index (OPVI) is a direct and more accurate measure of oil price uncertainty. The significance … of the crude oil prices volatility index is used in this paper to examine the effects of crude oil uncertainty on the … (−) fluctuations of the crude oil price volatility index (OPVI). Moreover, the paper measure whether the reform of 2012 stimulated the …

In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this … purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for … jumps. In emerging markets, the markets with average volatility earn higher returns during jump periods; however, highly …