post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …

occur in what we term “panic” states – following market declines and when market volatility is high, and are contemporaneous … momentum strategy. Further, we show that momentum returns in panic states are correlated with, but not explained by, volatility …