, switching and herding all contribute to market volatility in price and return and to volatility clustering, their impacts are … increase in switching intensity reduces the return volatility and in particular a low switching intensity reduces the price … volatility and increases the level of the significant ACs, but the effect becomes opposite when the switching intensity is high …

price volatility on commodity markets through improved control of speculation on futures and OTC markets. The article is … analysing the hypothesis that commodity funds are causing price volatility using first a direct relationship between the “Assets …

that kurtosis and volatility are lowest within the small world region of the network. This effect is negated as the number … world network and have limited liquidity. They trade based on their assessment of the future direction of the market … interaction between the agents generate kurtosis and persistence characteristics of volatility in returns. In addition, the level …

persistent volatility characterized by significantly decaying autocorrelations of, and positive correlation between, price … volatility and trading volume. …

herding all contribute to market volatility in price and return and volatility clustering, but their impact are different. On … switching reduces the return volatility and an initial increase in switching reduces the price volatility and increases the …

volatility and volatility transmission between oil and Ghanaian stock market returns in a multivariate setting using the recently … significant volatility spillover and interdependence between oil and the two stock market returns. While spillover effects are … stronger for Nigeria, the transmission of volatility is much more apparent from oil to stock than from stock to oil in the case …

the dynamic spillover of return and volatility between oil and equities in the Gulf Cooperation Council Countries during … the period 2004 to 2012. Our results indicate that return and volatility transmissions are bi-directional, albeit …