We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized … volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the … Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of …

Studies find price increases for additions to the S&P 500 index but no decreases for deletions. Additions come with … receive index buying whereas those just above 1000 have close to none. Using this random assignment, we find price effects for …

from the Samp;P 500 index. Index changes are noteworthy because they change a stock's category and investor clientele … (habitat), but do not change its fundamentals. We find that when a stock is added to the index, its beta and R-squared with … respect to the index increase, while its beta with respect to stocks outside the index falls. The converse happens when a …

volatility through time. We are particularly interested in understanding whether periods of high volatility are correlated across … countries. The analysis uses both on univariate and bivariate switching volatility models. Our results do not rely on the … correlation coefficients, but on the co-dependence of volatility regimes. The results indicate that high-volatility episodes are …

institutions predicts higher volatility and greater noise in stock prices as well as greater fragility in times of crisis. When …

paper examines how well time-changed Lévy specifications capture stochastic volatility, the "leverage" effect, and the …

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the …

This paper finds that, concurrent with the rapid growing index investment in commodities markets since early 2000s …