This paper investigates the impact of the COVID-19 pandemic on the volatility spillover and dependence structure among the major developed and emerging stock markets. The TVP-VAR connectedness decomposition approach and R-vine copula are implemented in this research. The results of the TVP-VAR...

This paper analyzes the relationship between stock returns and exchange rate changes in international markets and examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are evaluated on several cost functions. Results from such analysis...

This paper investigates the effects of corruption on equity price volatility using a sample of over 10,000 firm-level observations from 35 countries for 2003--2014. Utilizing approximately 16,000 responses from the World Bank Enterprise Survey, we construct experience-based annual corruption...