Purpose – The purpose of this paper is to examine the relation between extreme return correlation and return volatility …, in the context of US stock indexes, by detecting clusters of extreme returns using return and volatility thresholds based … of the relation between correlation and volatility is then based on the extent of overlapping extreme return clusters …

market quality variables, such as liquidity (bid‐ask spread and price impact), daily and intraday volatility and trading … reduced the volatility of the overall market, especially of the most liquid stocks. Practical implications These results …

to describe the sign and size of financial volatility asymmetry. The results indicate that the Tunisian stock market, in … impact on volatility than a positive innovation (news). This implies that this sector is not efficient under the weak form of …

short sales implemented have not corrected the falls in quotations or the volatility. However, there is a significant …

largest Italian banks as a sample over the period from 2003 to 2023. Our objective is to quantify and compare volatility …

that capital misallocation is greater in locations and industries with higher output shock volatility, consistent with our …

regression sensitivity analysis was performed on daily series of exchange rate volatility for 8 ASEAN countries having divided … our sample into two, before and after the financial crisis eras. Periods of low market volatility (2001-2006 plus 2010 …-2017) and high market volatility (1990-2000, 2007-2009, plus 2018-2023) correlate to the periods before and after the financial …