Browsing by Keywords "Return volatility"
Now showing items 1-4 of 4
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The degree of financial liberalization and aggregated stock-return volatility in emerging markets
(Elsevier, 2010)In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels ... -
Does ADR listing affect the dynamics of volatility in emerging markets?
(Univerzita Karlova v Praze, 2010)This paper analyzes the time-series variation in the return volatility of non-US stocks from emerging markets that are cross-listed on US exchanges. Unlike previous studies in the cross-listing literature, return volatility ... -
The effect of news on return volatility and volatility persistence: The Turkish economy during crisis
(Taylor & Francis Group, 2014)In this study, we investigate the effect of public information arrival on return volatility for Borsa Istanbul. New information arrival is measured by the number of daily news headlines for Turkey, the United States, and ... -
News releases and stock market volatility: intraday evidence from borsa Istanbul
(Elsevier Inc., 2015)In this study, we investigate the effect of public information arrival on return volatility for Borsa Istanbul (BIST) using intraday, 60-min returns between October 3, 2013 and March 31, 2014. Stock return and return ...
