Purpose – The purpose of this paper is to examine the short‐term and long‐term stock price volatility changes around bonus and rights issue announcements, using historical volatility estimation and time varying volatility approach. Design/methodology/approach – Changes in volatility...

Liquidity being an elusive concept is often difficult to measure, and it becomes even vaguer in currency options market which provides investors an alternative to hedge against foreign exchange fluctuations. Over past few years since the starting of trading of currency options contracts on US...

We study the stock return comovements from two different perspectives, one being trading behaviour-induced return comovements and the other volatility-induced return comovements. Following Baker and Wurglur (2006), we construct an investor sentiment index and examine whether it has relationship...

The short term and long term stock price volatility changes around bonus and rights issue announcements have been examined using historical volatility estimation and time varying volatility approach. The results show that the historical volatility has increased after bonus and rights issue...