speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …

We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using … high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock … that, as the publicly available information becomes stale, volatility effects and its persistence should increase, as the …

the opposite direction of transitory pricing errors, both on average and on the highest volatility days. This is done …

In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … in the regulation of one class of assets may have only small effects on these assets' return volatility if investors have …

returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

model. Second, we study whether both returns and volatility of bank stock prices changes upon the disclosure of stress tests … in returns and an increase in volatility, while the reverse holds true for banks performing well. Banks performing … correlation between bank abnormal returns or equity volatility and stress test performance, which experiences a steady increase …