Ahmad, Wasim; Sehgal, Sanjay - In: International Journal of Emerging Markets 10 (2015) 3, pp. 383-408
Purpose – The purpose of this paper is to examine the regime shifts and stock market volatility in the stock market …/value – The paper is novel in employing tests of MS under mean-variance framework to examine the regime shifts and volatility … not examine these markets under multivariate framework. Practical implications – The results highlight the role of regime …