Although volatility clustering has a long history as a salient empirical regularity
characterizing high-frequency speculative prices, it was not until recently that applied …

This chapter evaluates the most important theoretical developments in ARCH type modeling
of time-varying conditional variances. The coverage include the specification of univariate …

Behavioral finance studies reveal that investor sentiment affects investment decisions and
may therefore affect stock pricing. This paper examines whether the geographic proximity of …

Building on evidence that lifetime experiences shape individuals' macroeconomic
expectations, we study asset prices in an economy in which a representative agent learns …

We revisit the relation between stock market volatility and macroeconomic activity using a
new class of component models that distinguish short-run from long-run movements. We …

It seems plausible that an increase in stock market volatility raises required stock returns,
and thus lowers stock prices. We develop a formal model of this volatility feedback effect …

This paper investigates the relationship between aggregate stock market trading volume
and the serial correlation of daily stock returns. For both stock indexes and individual large …

Anomalies are empirical results that seem to be inconsistent with maintained theories of
asset-pricing behavior. They indicate either market inefficiency (profit opportunities) or …

This paper uses stochastic dominance (SD) analysis to examine whether Islamic stock
indexes outperform conventional stock indexes by comparing nine Dow Jones Islamic …

We undertake a comprehensive investigation of price and volume co-movement using daily
New York Stock Exchange data from 1928 to 1987. We adjust the data to take into account …