This study attempts to conduct an investigation of the characteristics of the South Asian stock markets including the effects of the opening of these markets. These markets were liberalised in early 1990s as a part of the economic reforms started in the South Asian region about two decades ago....

This study attempts to conduct an investigation of the characteristics of the South Asian stock markets including the effects of the opening of these markets. These markets were liberalised in early 1990s as a part of the economic reforms started in the South Asian region about two decades ago....

This study employs the recently developed Lagrange multiplier-based causality-in-variance test by Hafner and Herwartz (2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK, and Japan. The investigation pays careful attention to...

We investigate how the relative contribution of external factors to stock price movements varies with the degree of financial development. We find that financial development makes stock markets more susceptible to external influences (both financial and macroeconomic). Interestingly, this effect...

We investigate how the relative contribution of external factors to stock price movements varies with the degree of financial development. We find that financial development makes stock markets more susceptible to external influences (both financial and macroeconomic). Interestingly, this effect...

In this paper, we analyze hyper-return periods from 1976 to 1994 for 20 emerging stock markets. We define a hyper-return period as a calendar year during which a cumulative geometric return in excess of 70% is observed. According to this definition, the hyper-return periods represent 23% of the...

In this paper the contributions of economic and financial integration to international stock markets comovements are investigated by means of a large scale macroeconometric model, set in the factor vector autoregressive framework (FVAR). The findings point to a key role of both economic and...

In the paper monthly realized moments for stock market returns for the US, the UK, Germany and Japan are employed to assess the linkages holding across moments and markets over the period 1973-2004. In the light of the theoretical framework proposed in the paper, the results point to a...

The relative efficiency of financial markets can be evaluated using algorithmic complexity theory. Using this approach we detect decreases in efficiency rates of the major stocks listed on the Sao Paulo Stock Exchange in the aftermath of the 2008 financial crisis.

The goal of this paper is to investigate the relationship between stock and real estate markets via wavelet analysis. Based on wavelet transform, stock price index and REITs index are firstly decomposed into “volatility componentsâ€, that is, the wavelet coefficients. Secondly, we test...