This paper investigates whether daily stock price indices from fourteen emerging markets are random walk (unit root) or mean reverting long memory processes. We use an efficient statistical framework that tests for random walks in the presence of multiple structural breaks at unknown dates. This...

Purpose: The purpose of this paper is to examine intentional herding among institutional investors with a particular focus on the technology sector that was the driver of the “New Economy” in the USA during the dot-com bubble of the 1990s. Design/methodology/approach: Using data on...

This study analyzes the impacts of US macroeconomic announcement surprises on the volatility of twelve emerging stock markets by employing asymmetric GJR-GARCH model. The model includes both positive and negative surprises about inflation and unemployment rate announcements in the U.S. We find...