Business Conditions, Stock Market Volatility, and Expected Return

Open access Sep 2026

Nonlinear transmission mechanisms of liquidity shocks and return predictability

Changes in stock market liquidity affect transaction costs, price discovery, and risk premium adjustment. When volatility rises or trading depth declines, liquidity deterioration can amplify future return fluctuations through concentrated selling pressure, order book contraction, and investor rebalancing. Focusing on t...

Yi-Shu Li · Journal of Fintech and Busin... · 0 citations

Open access Aug 2026

Impact of Monetary Policy on Stock Market Return, Volatility, and Liquidity: Evidence from Pakistan

This research investigates whether changes in monetary policy (proxied by the interest rate) impact the stock market return, volatility, and liquidity across three key indices of the Pakistan Stock Exchange: the KSE100, KSE30, and KMI30. Utilizing monthly data spanning from 2012 through 2025 and employing regression an...

Anum Zia, Natasha Zahid, Arshad Hassan · ManageNex-Journal of Managem... · 0 citations

Preprint Sep 2026

Quantity, Risk, and Return

We propose a new model of expected stock returns that incorporates quantity information from market trading activities into the factor pricing framework. We posit that the expected return of a stock is determined by not only its factor risk exposures (beta) but also the factor's quantity fluctuations (q) induced by tra...

Yu An, Yi-Kai Su, Chen Wang · 0 citations

Asymmetric correlation in S&P500 relationship with stock’s characteristics

Abstract This research investigates the dynamics of asymmetric conditional correlation between individual equities and the broader market of S&P500 during periods of financial distress. Utilizing a bivariate ARMA(1,1)-aDCC-GARCH econometric framework over a comprehensive 4,000-day sample, we extract standardized innova...

Justin Wongwaiwit · 0 citations

Aug 2026

Financial Risk and Profitability in Frontier and Emerging Markets: Panel Evidence from the Palestinian and Turkish Stock Exchanges

Abstract This paper examines whether the association between financial risk and firm profitability differs between a frontier and an emerging market, using panel data from the Palestinian Stock Exchange (PEX) and Borsa Istanbul (BIST), 2010–2024. Return on assets (ROA) is the preferred outcome, since earnings per share...

Shaker Alghalayini Emre Kaya · Review of Middle East Econom... · 0 citations

Conference Open access 2026

A Theoretical Analysis of Implied Volatility and Its Determinants under the Black-Scholes Framework

: Options have become indispensable instruments for both risk management and speculation, with volatility serving as a fundamental input in pricing structures. While Historical Volatility (HV) relies on past returns, it is inherently backward-looking and fails to reflect forward-looking market expectations, investor se...

Guangsirui Zhai · Proceedings of the 1st Inter... · 0 citations