Volatility is an important component in risk return analysis of financial assets. It imparts liquidity to the financial system and also serves as an information source for rational decision making. Since the latter half of the 20th century, volatility in stock returns has been found to be time...

This paper examines the efficiency in pricing securities as well as the relation between exchange rate and dynamics of equity returns in a number of emerging stock markets from Africa and Asia,. This study utilizes methodologies based on Single variance ratio test of Lo and Mackinlay (1988),...

This paper examines the efficiency in pricing securities as well as the relation between exchange rate and dynamics of equity returns in a number of emerging stock markets from Africa and Asia,. This study utilizes methodologies based on Single variance ratio test of Lo and Mackinlay (1988),...

There has been renewed advocacy for restrictions on international financial flows in the wake of the recent financial crisis. Motivated by this trend, we explore the extent to which cross-border flows affect real economic activity. Unlike previous research efforts that focus on aggregated...

Using variance risk premiums (VRPs) nonparametrically calculated from equity markets in selected major developed economies and emerging market economies (EMEs) over 2007 - 2015, we document the correlation of VRPs across the markets and examine whether equity fund flows work as a path through...