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The Determinants of Common Stock Returns Volatility: An International Comparison

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  • Cohen, Kalman J, et al

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  • Cohen, Kalman J, et al, 1976. "The Determinants of Common Stock Returns Volatility: An International Comparison," Journal of Finance, American Finance Association, vol. 31(2), pages 733-740, May.
    • Handle: RePEc:bla:jfinan:v:31:y:1976:i:2:p:733-40
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    Cited by:

    1. Tom Berglund & Eva Liljeblom, 1990. "The impact of trading volume on stock return distributions : an empirical analysis," Finnish Economic Papers, Finnish Economic Association, vol. 3(2), pages 108-124, Autumn.
    2. Sabur Mollah & Asma Mobarek, 2009. "Market volatility across countries – evidence from international markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 26(4), pages 257-274, October.
    3. Będowska-Sójka, Barbara & Kliber, Agata, 2019. "The causality between liquidity and volatility in the Polish stock market," Finance Research Letters, Elsevier, vol. 30(C), pages 110-115.
    4. Figueiredo, Antonio & Parhizgari, A.M., 2017. "Currency volatility and bid-ask spreads of ADRs and local shares," Global Finance Journal, Elsevier, vol. 34(C), pages 54-71.
    5. Białkowski, Jędrzej & Yaghoubi, Mona, 2021. "The Ramadan effect: A standalone anomaly or just a compensation for low liquidity?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    6. Mazza, Paolo & Wang, Shiyu, 2021. "Corporate legal insider trading in China: Performance and determinants," International Review of Law and Economics, Elsevier, vol. 68(C).
    7. Mu-Lan Wang & Ching-Ping Wang & Shiang-Yi Lee, 2015. "An Analysis for Credit Rating and Momentum Strategy," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(1), pages 127-144, January.
    8. Hearn, Bruce, 2014. "The political institutional and firm governance determinants of liquidity: Evidence from North Africa and the Arab Spring," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 127-158.
    9. Będowska-Sójka, Barbara, 2019. "The dynamics of low-frequency liquidity measures: The developed versus the emerging market," Journal of Financial Stability, Elsevier, vol. 42(C), pages 136-142.
    10. Che, Limei, 2018. "Investor types and stock return volatility," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 139-161.

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