Table of Contents
J. Risk Financial Manag., Volume 13, Issue 6 (June 2020) – 31 articles
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Cover Story (view full-size image) We empirically examine the magnitude and the sign of the linear relationship between market-based [...] Read more. We empirically examine the magnitude and the sign of the linear relationship between market-based volatility and contemporaneous returns, the so-called volatility feedback effect both on S&P500 and FTSE100. Consequently, we study (i) the existence of positive relationship market-based volatility and contemporaneous returns and (ii) the existence of negative relationship between lagged returns and volatility. View this paper.