This paper investigates the existence of time-varying risk premia in deviations from uncovered interest parity based on the market capital asset pricing model. The empirical analysis is conducted using a broad data set of seven major currencies against the US dollar, and a world equity index in...

We investigate the empirical relationship between aggregate mutual fund flows and stock marketvolatility in Asian emerging markets by providing a comparative analysis of equity and balancedfunds with market-wide volatility. Using a panel vector autoregressive model, we findthat market volatility...