This paper analyses the volatility transmission between European Global Systemically
Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional …

Applying both survey-based and market-based measures, we examined how investor
sentiment affects the way with which prices reflect information and whether or not it …

This paper scrutinizes the effect of Twitter-based sentiment on US sectoral returns using
data from between 21 June 2010 and 13 April 2020. We apply causality in quantiles as a …

In this paper, we investigate the mechanism of volatility transmission in five regional equity
markets in Hong Kong, South Korea, Malaysia, Singapore, and Thailand using the …

The main objective of this paper is to analyze tail dependence between returns and changes
in implied volatility. We verify the asymmetry in dependence of positive and negative …

Purpose The aim of this study is to investigate for monotonicity, linearity and symmetry for
the price volatility–trading volume relationship in the futures markets of agricultural …

Purpose The purpose of this paper is to investigate for symmetries–in sign and size–
between spot and futures prices in the markets of energy commodities. Design/methodology …

This study examines which asymmetric variables lead to the better forecast performance of
downside and upside risks. The models used in this study measure downside and upside …

† The change in stock price is not only affected by the intrinsic value provided by accounting
information, but also by the behavior of investors, which is referred to as investor sentiment …

The paper intends to re-examine the relationship between India's Implied Volatility Index
(IVIX) and Nifty 50 Returns during this COVID-19 pandemic. The study results are important …