Are Shares More Volatile During the Global Financial Crisis?
Authors:
- Azilawati BanchitABAzilawati Banchit
- Sazali AbidinSazali Abidin
- Junqi WuJWJunqi Wu
Open Access
- 1 June 2016
- journal article
- Published by Elsevier in Procedia - Social and Behavioral Sciences
- Vol. 224, 221-229
Abstract
No abstract availableKeywords
This publication has 20 references indexed in Scilit:
- Trading activity, realized volatility and jumpsJournal of Empirical Finance, 2010
- Path Integrals in Quantum Mechanics, Statistics, Polymer Physics, and Financial Markets2009
- THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPSInternational Journal of Theoretical and Applied Finance, 2008
- Boltzmann distribution and market temperaturePhysica A: Statistical Mechanics and its Applications, 2007
- The implications of IPO underpricing for the firm and insiders: Tests of asymmetric information theoriesJournal of Empirical Finance, 2006
- Theory of Financial Risk and Derivative Pricing2003
- Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark OptionsThe Review of Financial Studies, 1996
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency OptionsThe Review of Financial Studies, 1993
- The Reaction of Investors and Stock Prices to Insider TradingThe Journal of Finance, 1992
- Efficient Capital Markets: A Review of Theory and Empirical WorkThe Journal of Finance, 1970