Open Access. Powered by Scholars. Published by Universities.®
Portfolio and Security Analysis
Static volatility interruption, dynamic volatility interruption, conditional idiosyncratic volatility, volatility spill-over, stock return, market capitalization
Articles 1 - 1 of 1
Full-Text Articles in Business
Volatility Interruptions, Idiosyncratic Risk, And Stock Return, Saad A. Alsunbul
Volatility Interruptions, Idiosyncratic Risk, And Stock Return, Saad A. Alsunbul
University of New Orleans Theses and Dissertations
The objective of this paper is to examine the impact of implementing the static and dynamic volatility interruption rule on idiosyncratic volatility and stock returns in Nasdaq Stockholm. Using EGARCH and GARCH models to estimate the conditional idiosyncratic volatility, we find that the conditional idiosyncratic volatility and stock returns increase as stock prices hit the upper static or dynamic volatility interruption limits. Conversely, we find that the conditional idiosyncratic volatility and stock returns decrease as stock prices hit the lower static or dynamic volatility interruption limit. We also find that the conditional idiosyncratic volatility is higher when stock prices reach …