This paper investigates the relationship between the volatility of Volume Synchronized Probability of Informed Trading (VPIN) and future short-term volatility of stock returns. We construct a transaction-signed version of VPIN (TR-VPIN) based on tick by tick data on securities traded in the...

This paper examines the volatility spillover effects among Mediterranean equity markets and investigates the effects of the 2007 financial crisis. German, Greek, Spanish, Italian and Portuguese markets are investigated. German market is used as a benchmark market. We employ a multivariate...

Purpose: This paper aims to investigate the contagion effects of stock and FX markets for the USA and European monetary union (EMU) during the US subprime crisis of 2007-2009.Design/methodology/approach: The data sample is daily comprising a weighted Morgan Stanley Capital Index (MSCI) for US...