bid and ask spreads and increased intraday volatility. Moreover, there appears to be no evidence for lasting price support …

correlation. In terms of volatility contagion, we find that an increase in VRPs in the United States significantly reduces equity …

Tests of excessive volatility along the lines of Shiller (1981) and Leroy and Porter (1981) count among the most …

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …

This paper analyses the dynamic transmission mechanism of volatility spillovers between key global financial indicators … and G20 stock markets. To examine the volatility spillover relations a bivariate GARCH-BEKK model, which captures … volatility spillovers, is combined with complex network theory. Here, we construct a volatility network of international …

, then a record fall in prices and then a record recovery. Throughout the period there was extreme volatility and much short …