VOLATILITY CONNECTEDNESS AS FEAR GAUGE: SHORT-TERM PREDICTABILITY OF MARKET RETURN AND TRADING ACTIVITY
Considering the extreme uncertainty faced by investors in the crisis period, this research investigates whether volatility connectedness can be used to predict return and trading activity in the short-term. This research uses transaction data of Indonesian stock market from January 2008 to Decemb...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/36849 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |