"Liquidity commonality is defined as liquidity co-movements across assets or markets. In the current literature, it is measured relative to a single factor, i.e., the average liquidity across assets or markets. However, liquidity co-movements may not be fully captured by this single factor....

This paper examines volatility forecasting for the broad market indices of 12 Asian stock markets. After considering the long memory in volatility and volatility jumps, the paper incorporates local, regional, and global factors into a heterogeneous autoregressive model for volatility...

This study conducts price discovery analysis in the Chinese gold market. Our results indicate that Chinese gold market price discovery occurs predominantly in the futures market. The result is robust to numerous different measures of price discovery, namely information share, component share,...

This paper provides evidence on the benefits and potential risks associated with foreign equity investment. The market volatility in Indonesia is examined in relation to different types of transactions by foreign and local investors. Foreign selling has a significant impact on market volatility...