This paper investigates the effects of news on conditional variances in the six Asian emerging markets by using the composite index of news from January 1995 to April 2000. Our results are as follows. First, the greater is the volume of current news, the greater is the volatility in all markets....

The exchange-rate behavior of the Chinese yuan (RMB) and the Malaysian ringgit (MYR) indicates that the real exchange rate volatility of both the pegged currency/the anchor currency (the US dollar), and the pegged currency/the non-anchor currencies (Japanese yen and British pound) are lower...

In this study, the impact of volatility regime shifts on volatility persistence and hedge ratio estimation is determined for four major currencies using an iterated cumulative sums of squares (ICSS)-GARCH model. Employing a standard GARCH (1,1) model as the benchmark, within-sample results...

We examine the performance of technical trading rules in Chinese domestic A-share and foreign B-share markets. After controlling for non-synchronous trading and transaction costs, we find evidence to support the predictability and profitability of some of the most popular technical trading rules...

The literature is not clear on whether there are co-dependencies domestically across real estate and stock markets, despite the importance of this question for portfolio diversification strategies. In this article, we use fractional cointegration and long memory techniques to search for...

This paper examines the dynamics of returns and order imbalances across the KOSPI 200 cash, futures and option markets. The information effect is more dominant than the liquidity effect in these markets. In addition, returns have more predictability power for the future movements of prices than...

This study examines a risk/return mismatch of the MSCI China Index, which has offered investors low returns and high volatility, yet remains a favorite within the global investors' portfolio. The paper suggests several insights, both from behavioral and traditional finance perspectives, to...

This paper investigates the underlying factors that determine share returns on the Dhaka Stock Exchange. The empirical analysis does not support the critical condition of the Capital Asset Pricing Model of a positive relationship between share return and beta. However, it shows that variables...