industry returns possess predictive information regarding the direction of the aggregate stock market in Borsa Istanbul, both …. Industry information emanating from the US stock market has significant spillover effects on Turkish industry returns, creating … an opening for industry investment strategies for local investors. We show that foreign participation in the stock market …

negative effect on stocks with the intensity of the effect depending on the stock's profile. Small-cap and growth stocks were … is progressively diluted at the lower tail of the stock return distribution. Practical implications The findings shed …

and brown stock price indices in five countries (Canada, India, Japan, the UK and the US). More specifically, bivariate …