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THE LEVERAGE EFFECT ON THE VALUE PREMIUM VOLATILITY: FROM AN INTERNATIONAL PERSPECTIVE
(
Qatar University
, 2015 , Article)
This paper investigates the leverage effect on the value premium volatility using
GARCH and TARCH models utilizing a unique dataset, for twenty nine countries. The
findings show that value premium returns are bigger in ...
The price-volume relationship in Gulf Cooperation Council stock markets
(
Inderscience Publishers
, 2015 , Article)
This paper examines the empirical relationship among stock return, trading volume and volatility for the seven stock markets that comprise the Gulf Cooperation Council. The dataset includes seven national stock markets for ...