Abstract This paper examined the association between various measures of earnings quality and stock return volatility Johannesburg Stock Exchange (JSE)-listed companies for 10 years from 2009 to 2018. The considered were accrual quality, conservatism, persistence, predictability smoothness. was measured with idiosyncratic volatility. Multilevel linear regression found that persistence are negat...

We estimate a dynamic model under Anderson’s Modifled Mixture of Distribution Hypothesis (MMDH) to explore the underlying causes of the volatility difierences between China’s domestic A shares and foreign B shares. We flnd evidence that some of the greater return volatility for A-shares is due to a substantially larger number of investors leading to a higher probability of trading on a given \n...

Previous research suggests that individual investor sentiment has incremental explanatory power for returns of small cap stocks, value stocks, stocks with low institutional ownership, and stocks with lower prices (Kumar and Lee (2003)) and that there is a strong link between institutional sentiment and the returns of large stocks (Brown and Cliff (2004)). With respect to return volatility, Jack...

This paper examines the hypothesis that both stock returns and volatility are asymmetric functions of past information derived from domestic and US stock-market news. The evidence finds the presence of negative autocorrelation, which is consistent with the dominance of positive-feedback trading behavior. By employing a double-threshold autoregressive GARCH model to investigate four major index-...

This paper addresses the following issue: given a set of daily observations on an asset (historical opening, closing, high and low prices), how should one go about estimating the asset’s volatility? We use high-frequency data on very liquid assets to construct daily realized volatility series, which enables us to treat volatility as observed rather than latent. We then compare the empirical per...

This work is about applying wavelet-based approximation and estimation techniques to non-stationary nancial time series for modeling stock index return volatility. The presence of various forms of dependence requires a careful analysis, particularly when dealing with very high frequencies and with periodic components. One important goal is achieving sparse signal decompositions, by the means of...

The relationship between stock return volatility and trading volume is analysed by using the modified mixture model (MMM) framework proposed by Andersen (1996). This theory postulates that price changes and volumes are driven by a common latent information process, which is commonly interpreted as the volatility. Using GMM estimation Andersen finds that the persistence in this latent process fa...