This study examines international equity market integration regarding uncertainty. For that purpose implied volatilities calculated from the market prices of stock index options from the U.S., U.K., German and Finnish markets are analyzed. The results suggest a high degree of integration among...

This paper provides empirical evidence on the gradual information dissemination in the stock market. Brokerage analysts' earnings forecast revisions are used as information source. There are early informed, (later) informed and uninformed investors, depending on their relationship with the...

This paper investigates the bias and over- or under-reaction to previous years earnings using data from years between 1988 and 2005. The purpose is to study the effect of analysts' recommendations on these issues. In most of the previous literature it has been found that there is a positive bias...

This paper examines the co-movement dynamics of ten emerging and four frontier government bond markets with the US market and the impact of macroeconomic factors and global bond market uncertainty on the time-varying co-movement. We find that macroeconomic factors play important role in...

In this paper, we investigate whether oil risk is priced in selected emerging markets of the Middle East region—in particular, oil-producing countries. Given that these countries have maintained fixed exchange rates against the U.S. dollar, we are able to modify the multivariate GARCH...