By examining the connectedness of carry trade currency with stock, foreign exchange (forex), and commodity markets, the paper investigates the extent to which shocks in capital flows driven by interest-rate differentials affect financial markets. Following the framework of Diebold and Yilmaz...

This paper examines the direction and extent of the asymmetric volatility connectedness among international equity markets using 5-minute interval data from 16 stock markets. We analyze asymmetric volatility connectedness using realized volatility and identify the magnitude of the volatility...

This paper explores the relationship between global wealth and happiness. We employ a bivariate generalized autoregressive conditional heteroskedasticity framework for global wealth and happiness represented, respectively, by FTSE All-World and Twitter's Daily Happiness Sentiment indexes from...

We build a parsimonious agent-based model under the adaptive market hypothesis (AMH), which can explain the formation of equilibrium prices and market efficiency dynamics. Our model combines heterogeneous interacting agents, switching behavior, and investor feedback on past realized returns,...

Momentum, size, and low volatility in emerging markets regularly exhibit increased correlations across factors and markets in periods of negative returns. I provide a framework to distinguish a unique source of risk from a set of factors in the stage of portfolio formation. The framework is...

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...

This paper compares the impact of market multiples on stock returns between emerging (ASEAN) and developed (European) financial markets. A t-test, fixed effects, and GMM are applied to a sample of 4725 firms for fifteen years. The findings show that market multiples differ across emerging and...

Despite an increasing focus on the nexus between finance and growth, little is known about the growth effect of financial development in emerging markets. Financial development is generally considered a multifaceted phenomenon. Unlike previous studies, which use a static panel model or focus on...

This study empirically tests time-varying asset pricing models in an emerging market with individual stocks. We employ a recently proposed instrumental variables (IV) technique that uses individual stocks as test assets while consistently estimating ex-post risk premiums. This method differs...