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Trading volume and stock market volatility: evidence from emerging stock markets
(LLC CPC Business Perspectives, 2009-01-15)
Based on the 'mixture of distribution' hypothesis, this paper investigates the relationship between trading volume and conditional volatility of returns by using 12 emerging stock market indices over the period between ...
On the hedging benefits of REITs: The role of risk aversion and market states
(Oviedo University Press, 2021-06)
We propose a dynamic, forward-looking hedging strategy to manage stock market risks via positions in REITs, conditional on the level of risk aversion. Our findings show that risk aversion can predict transitions to the ...
The US term structure and return volatility in global REIT markets
(Asia University, 2020-09)
This paper examines the information content of the U.S. term structure of interest rates on the market for real estate investment trusts (REITs) by decomposing the term structure of U.S. Treasury yields into two components ...