Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the U.S. to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2) evidence of unidirectional AR...

The grey theory is mainly uncertainty directed against the systematic model and fit for incomplete information. This paper adopts the grey prediction methods, GM(1,1) and GM(1,1|optimal α), to investigate the return and volatility of major index futures among American and Eurasian markets. The grey relational theory and GM(1,N) model are further used to observe the volatility spillover effect a...

Supply chain companies are one of the most important elements of the economy of each country. These companies play an important role in the expansion and activities of other companies through the provision of capital, customers, credit and even raw materials and technology. Therefore, the main goal of this research was to examine the impact of contagion of return and volatility in the return of...

investing in stock markets usually is involved in more risks than the bounds and bank deposits. it is expected that resulting returns (capital gain plus yields) from trading in a stock market to be more than those of in a risk free investment. therefore, developing accurate techniques of estimation and forecasting in volatility analysis of financial markets is inevitable. sum squares of weekly ...

In this article, we examine the relation between return volatility, average trade size, and the frequency of transactions using transaction data. Consistent with Jones, Kaul, and Lipson (1994. Review of Financial Studies, 7, 631–651), our results show that the frequency of trades has a high explanatory power for return volatility. However, contrary to their finding, we find that average trade s...