The asymmetric return-volatility relationship of commodity prices
Sign Up to like & getrecommendations! Published in 2018 at "Energy Economics"
DOI: 10.1016/j.eneco.2018.10.022
Abstract: There is a well documented asymmetric return-volatility effect of equity returns, that is, negative shocks increase volatility by more than positive shocks. This paper analyzes the return-volatility relationship of commodity prices and finds a positive… read more here.
Keywords: return volatility; volatility; volatility relationship; asymmetric return ... See more keywords
Examination of information release on return volatility: A market and sectoral analysis☆
Sign Up to like & getrecommendations! Published in 2020 at "Heliyon"
DOI: 10.1016/j.heliyon.2020.e03885
Abstract: This paper examines the role of information release in explaining the return volatility of the Australian equity market. The study applies proxies of greater accuracy to examine the effect of public and private information on… read more here.
Keywords: information release; information; return volatility; market ... See more keywords
Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis
Sign Up to like & getrecommendations! Published in 2017 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2017.04.005
Abstract: This paper contributes to the current debate on the empirical validity of the decoupling hypothesis of the Islamic stock market from its mainstream counterparts by examining return and volatility spillovers across the global Islamic stock… read more here.
Keywords: return volatility; stock markets; analysis; conventional stock ... See more keywords
Firm age and realized idiosyncratic return volatility in China: The role of short-sales constraints
Sign Up to like & getrecommendations! Published in 2021 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2021.101745
Abstract: Abstract This paper investigates how realized idiosyncratic return volatility changes with firm age in the Chinese stock market. By employing a sample of 26,676 firm-year observations of 2798 A-share listed Chinese firms from 2001 to… read more here.
Keywords: firm age; return volatility; volatility; idiosyncratic return ... See more keywords
The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises
Sign Up to like & getrecommendations! Published in 2017 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2017.04.003
Abstract: This paper examines return and volatility spillovers between the Turkish stock market with international stock, exchange rate and commodity markets. Our aim is not only to examine spillover behaviour with a large emerging market but… read more here.
Keywords: return volatility; asset; market; behaviour asset ... See more keywords
Return and volatility spillovers between currency and bond markets in India
Sign Up to like & getrecommendations! Published in 2018 at "Macroeconomics and Finance in Emerging Market Economies"
DOI: 10.1080/17520843.2018.1512509
Abstract: ABSTRACT This paper examines the return and volatility spillovers between the foreign exchange and bond markets of India using a bivariate asymmetric BEKK-GARCH (1,1) model for the period 4 April 2005 to 31 March 2017.… read more here.
Keywords: bond markets; return volatility; volatility spillovers; markets india ... See more keywords
Return and volatility spillovers between Bitcoin and other asset classes in Turkey
Sign Up to like & getrecommendations! Published in 2019 at "EuroMed Journal of Business"
DOI: 10.1108/emjb-10-2018-0066
Abstract: Purpose With a substantial return and volatility characteristic of Bitcoin, which may be seen as a new category of investment assets, better understanding of the nature of return and volatility spillover can help investors and… read more here.
Keywords: volatility; asset classes; return volatility; bitcoin ... See more keywords
The effects of corporate governance on the stock return volatility
Sign Up to like & getrecommendations! Published in 2018 at "International Journal of Law and Management"
DOI: 10.1108/ijlma-01-2017-0010
Abstract: The purpose of this study is to investigate the relationship between the stock return volatility, the outside and the independent directors.,The volatility, as the dependent variable in the model, is measured by the standard deviation… read more here.
Keywords: return volatility; volatility; stock return; corporate governance ... See more keywords
Does idiosyncratic return volatility capture information or noise
Sign Up to like & getrecommendations! Published in 2018 at "International Journal of Trade and Global Markets"
DOI: 10.1504/ijtgm.2018.10017097
Abstract: This paper examines the cross-sectional association between earnings quality and firm-specific return volatility for a sample of UK firms listed in the London Stock Exchange. Identifying the determinants of idiosyncratic volatility has been a topical… read more here.
Keywords: information; return volatility; volatility; specific return ... See more keywords
The relationship between corporate forward-looking disclosure and stock return volatility
Sign Up to like & getrecommendations! Published in 2018 at "Problems and perspectives in management"
DOI: 10.21511/ppm.16(3).2018.11
Abstract: The study assesses corporate forward-looking disclosure by measuring four attributes, namely disclosure quantity, disclosure coverage, disclosure concentration and disclosure quality, through a sample of 34 listed firms in the Bahrain Bourse from 2014 to 2017.… read more here.
Keywords: return volatility; stock return; disclosure; forward looking ... See more keywords
On the Dynamics of International Real-Estate-Investment Trust-Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures
Sign Up to like & getrecommendations! Published in 2021 at "Entropy"
DOI: 10.3390/e23081048
Abstract: In this paper, we investigate the time-varying interconnectedness of international Real Estate Investment Trusts (REITs) markets using daily REIT prices in twelve major REIT countries since the Global Financial Crisis. We construct dynamic total, net… read more here.
Keywords: international real; return volatility; estate investment; real estate ... See more keywords