Purpose: The purpose of this study is to examine how the volatility interruption (VI) mechanisms affect idiosyncratic volatilities in Korean stock markets. Design/methodology/approach: Collecting the South Korea Stock Market...

Purpose: This paper aims to achieve two main objectives. The first is to introduce a suitable adjustment to the conventional dividend-price ratio, which would address econometric concerns and improve the predictability of the equity premium. The second is to compare the predictive performance...

Purpose – The purpose of this paper is to examine the predictability of the US-based international mutual fund returns by investigating 2,479 daily observations for all categories of international equity, bond and hybrid mutual funds. Further, trading strategies are proposed and tested under...

Purpose – This paper aims to uncover potential contemporaneous relationship between foreign portfolio investment (FPI) and another popular type of cross-border investment outflow, namely, foreign direct investment (FDI). Design/methodology/approach – The relationship between FPI and FDI are...

Purpose – The purpose of this paper is to examine the predictability of the US‐based international mutual fund returns by investigating 2,479 daily observations for all categories of international equity, bond and hybrid mutual funds. Further, trading strategies are proposed and tested under...

A system of reduced forms with cointegrated variables may be estimated in two ways: as a vector autoregression in levels, or as a vector error correction model. The latter is a restricted version of the former. If there is cointegration, imposing this restriction will yield more efficient...

This paper studies the benefits of diversifying into real estate and other assets that typify the wealth held by Japanese investors. We examine movements in mean variance frontiers by employing spanning tests to assess the statistical significance of frontier shifts. We also investigate the...