After examining both the interday and intraday return volatility of the Shanghai Composite Stock Index, it was found that the open-to-open return variance is consistently greater than the close-to-close variance. The volatility of interday returns and variance ratio tests with five-minute...

This paper examines whether the firm-level and the industry-level cross-sectional volatility (CSV) contains any incremental information about the future market-level volatility in Australia. We analyze daily equity returns data from 2 January 1992 to 31 May 2004. Using a conditional volatility...

The relationship between stock market development and economic growth has been an important issue of debate. A well functioning stock market can affect economic growth through the channelling of more saving to investment and the improvement of capital productivity with efficient allocation of...

This paper investigates the empirical relationship between intraday volatility and trading volume. Our primary data set consists of 5-minute returns and trading volumes for the period between January 1, 2000 and December 31, 2002, for a subset of thirty-nine stocks from the Shanghai Stock...

This Paper examines the intraday behaviors of bid/ask spreads, depths and their determinants on an order-driven market in the Shanghai Stock Exchange. Our analysis shows that the intraday 5-minute bid/ask spreads display an L-shaped pattern and the depths exhibit an inverted L-shaped pattern....

This paper investigates the empirical relationship between intraday volatility and trading volume. Our primary dataset consists of 5-minute returns and trading volumes for the period between January 1, 2000 and December 31, 2002, for a subset of thirty-nine stocks from the Shanghai Stock...

The study investigates the interdependence of the stock markets in the following countries; Hong Kong, Japan, Korea, Taiwan, Indonesia, Malaysia, Philippines, Singapore, Thailand, and the advanced stock markets of Australia, Germany and the United States. Using data from 1994 to 2003 the paper...

Oil price shocks have a statistically significant impact on real stock returns contemporaneously and/or within the following month in the U.S. and 13 European countries over 1986:1-2005:12. Norway as an oil exporter shows a statistically significantly positive response of real stock returns to...

This paper presents a study of asset price volatility, correlation trends and market risk-premia. Recent evidence (Campbell 2001) shows an increase in firm-level volatility and a decline of the correlation among stock returns in the US. We find that, in relation to the Euro-Area stock markets,...