This paper investigates the predictability of asset prices among developed and emerging markets. Weekly and monthly stock market indices from developed and emerging market economies are analysed to check the validity of weak-form of Efficient Market Hypothesis (EMH) using various empirical...

This experimental research investigates risk on emerging and developed markets. I employ the methodology of Fama-French (1993) to construct their Three-Factor model. My central hypothesis is that there is risk which cannot be captured by the Fama-French Three-Factor model and this risk is higher...

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...

We investigate the relationship between the daily release of COVID-19 related announcements, defensive government interventions, and stock market volatility, drawing upon an extended time period of one year, to independently test, confirm and iteratively improve on previous research findings. We...