composition of asset portfolios is altered.
Finally, the empirical results have important implications for policymaking
market regulation. Given the evidence that the release of new information is usually
following by rapid changes in asset prices and significant increases in trading activity, the
regime-dependencies in market expectations can have some bearing on the scheduled
announcement times of economic reports. It is thus interesting to examine the issue of the
announcement of monetary policy shifts or changes in margin lending regulation are
preceded or followed with regime switches in volatility expectations.
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