volatility of an emerging market. The paper also determines the moderating role of firm size, crisis and turnover on such … over the association between institutional investors and firms’ stock return volatility. Findings The study provides …-insensitive institutional investors have a significant positive relation with stock return volatility, while pressure-sensitive institutional …

This paper examines the clustering of return volatility within industries by comparing the short‐run responses of stock … release of macroeconomic news and consequently different degrees of return volatility clustering: strongest in General …

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 …

Andrews. They then turn to models of conditional volatility, replicating papers by Bollerslev. Finally, students estimate …

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

evaluate the volatility of price of green beans, tomatoes, onions, oranges, grapes and strawberries, respectively. The results … of food price volatility in developing countries is essential, since a significant share of household budgets is spent on …