: The University of Arkansas Undergraduate Research

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...

Investor Sentiment and Stock Market Returns in Nigeria

The Nigerian bourse is characterized by continual volatility and unpredictability that traditional macroeconomic models have failed to sufficiently explain this phenomenon. It is against this backdrop that this study examines the impact of investor sentiment on stock market returns in Nigeria. To achieve this, the st...

Overconfidence Behavior and Dynamic Market Volatility: Empirical Evidence from the Vietnamese Stock Market

This study examines the relationship between investor overconfidence and dynamic market volatility in the Vietnamese stock market, a frontier market distinguished by rapid growth and the dominance of individual investors. Although the overconfidence–volatility framework has been tested across many developed and emergin...

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...

CAFÉ WORKING PAPER NO. 33

Do Global Financial Markets Drive Volatility in India? Evidence from a Dynamic Conditional Correlation Model

Market interconnection and dynamic linkages increase the persistence of volatility, as shocks in one market quickly affect others, reflecting their interdependence. In this context, the objective of this study is to examine the conditional volatility and conditional correlation of selected financial markets. This study...