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Volume weighted volatility : empirical evidence for a new realised volatility measure

Padungsaksawasdi, Chaiyuth; Daigler, Robert T. - In: International journal of banking, accounting and finance 9 (2018) 1, pp. 61-87

Persistent link: https://www.econbiz.de/10011955195

The limits to stock index arbitrage : examining S&P 500 futures and SPDRS

Richie, Nivine; Daigler, Robert T.; Gleason, Kimberly - In: The journal of futures markets 28 (2008) 12, pp. 1182-1205

Persistent link: https://www.econbiz.de/10003773148

Expanding the explanations for the return-volatility relation

Talukdar, Bakhtear; Daigler, Robert T.; Parhizgari, Ali M. - In: The journal of futures markets 37 (2017) 7, pp. 689-716

Persistent link: https://www.econbiz.de/10011950866

The effect of high-frequency market making on option market liquidity

Mishra, Suchi; Daigler, Robert T.; Holowczak, Richard - In: The journal of trading 11 (2016) 4, pp. 56-76

Persistent link: https://www.econbiz.de/10011697653

Dynamics of information leadership in the volatility complex with trading time changes : evidence from VIX futures and VIX ETPs

Hurwitz, Catalina I.; Mishra, Suchismita; Daigler, Robert T. - In: Algorithmic finance 9 (2022) 3/4, pp. 63-79

Persistent link: https://www.econbiz.de/10013459963

Investor attention and stock market activities : new evidence from panel data

Chaiyuth Padungsaksawasdi; Sirimon Treepongkaruna; … - In: International Journal of Financial Studies : open … 7 (2019) 2/30, pp. 1-19

Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence of the SVI–stock market activities...

Persistent link: https://www.econbiz.de/10012038696

Extreme spillovers of VIX fear index to international equity markets

Massaporn Cheuathonghua; Chaiyuth Padungsaksawasdi; … - In: Financial markets and portfolio management 33 (2019) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10012018353

The board effectiveness index and stock price crash risk

Woraphon Wattanatorn; Chaiyuth Padungsaksawasdi - In: Managerial finance 48 (2022) 1, pp. 126-135

Persistent link: https://www.econbiz.de/10012798532

The volume-implied volatility relation in financial markets : a behavioral explanation

Massaporn Cheuathonghua; Chaiyuth Padungsaksawasdi - In: The North American journal of economics and finance : a … 71 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014492089

Stock price crash risk : the role of systematic skewness

Woraphon Wattanatorn; Chaiyuth Padungsaksawasdi - In: International journal of monetary economics and finance … 15 (2022) 1, pp. 78-93

Persistent link: https://www.econbiz.de/10013256805