In this study, we employ the techniques of Malliavin calculus to analyze the volatility feedback and leverage effects for a better understanding of financial market dynamics. We estimate both effects for a general semimartingale model applying Fourier analysis developed in Malliavin and Mancino (2002) . We further investigate their joint behaviour using 5 min data of the ISE30 index. On the basis of these estimations, we look for the evidence that volatility feedback effect rate can be employed in the stability analysis of financial markets. (C) 2013 Elsevier B.V. All rights reserved.