Title:Herding behavior, market sentiment and volatility : will the bubble resume? Author(s):BEKIROS, Stelios D.; JLASSI, Mouna; LUCEY, Brian; NAOUI, Kamel; UDDIN, Gazi SalahDate:2017Citation:
- The North American journal of economics and finance, 2017, Vol. 42, pp. 107-131
Type:ArticleAbstract:This paper aims to investigate herding behavior and its impact on volatility under uncertainty. We apply a cross-sectional absolute deviation approach as well as Quantile Regression methods to capture the herding behavior ...
Title:The asymmetric relationship between returns and implied volatility : evidence from global stock markets Author(s):BEKIROS, Stelios D.; JLASSI, Mouna; NAOUI, Kamel; UDDIN, Gazi SalahDate:2017Citation:
- Journal of financial stability, 2017, Vol. 30, pp. 156-174
Type:ArticleAbstract:We investigate the asymmetric relationship between returns and implied volatility for 20 developed and emerging international markets. In particular we examine how the sign and size of return innovations affect the ...