. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … volatility process of the index, using augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results … macroeconomic variables explain the VKOSPI. More importantly, we find that the stock market return and implied volatility index of …

volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships …. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The …

This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets … show that the U.S. term structure indeed contains predictive information over emerging stock market volatility, even after … volatility compared to the maturity premium component of the yield spread. We also find that the U.S. term structure has gained …

domestic volatility after good shocks but a bad hedge after crashes …

U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility can be higher for … reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth …. We find that the volatility of U.S. firms is higher mostly because of good volatility. Specifically, firm stock …

From 1991 to 2006, U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility … in a country can be higher than the stock return volatility of a similar firm in another country for reasons that … contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that …

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …

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 …