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Information leadership in the advanced Asia–Pacific stock markets: Return, volatility and volume information spillovers from the US and Japan

✍ Scribed by Suk-Joong Kim


Book ID
116660780
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
310 KB
Volume
19
Category
Article
ISSN
0889-1583

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## Abstract Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and