This study examines the pattern of returns and volatility on Irish equity markets, over a period when the markets were deregulated. GARCH and GARCH-IN-MEAN models are applied to data from three study periods. Volatility spillovers from the London stock market are considered, providing a test for...

This paper examines whether additional risk factors such as the variance, skewness, and coskewness of returns offer an appropriate explanation of company returns in less developed capital markets. Arguments for considering some additional factors in pricing models to better deal with such...

Distributional properties of emerging market returns may impact on investor ability and willingness to diversify. Investors may also place greater weighting on downside losses, compared to upside gains. Using individual equities in a range of emerging Asian markets, we investigate the potential...

An assessment of the wealth impact of spin-offs involving UK firms is of interest, as they tend to access debt through banks rather than capital markets. Banks will have a different relationship with shareholders, so the distribution of returns may differ from that previously observed. The short...

This article identifies variables that might help an analyst to classify a stock market as either a developed or an emerging market. Although these terms are used widely, the basis for the application of the two descriptors has not been examined, using quantitative method(s) to verify the...

This paper tests the volatility spillovers between the Shanghai market and the main developed stock markets abroad, namely New York, Tokyo, London, and Frankfurt, as well as between the Shanghai market and the emerging stock markets, namely Hong Kong, and Korea. The tests cover the period of 11...