In this paper, we analyse historical stock market volatility and co-movement behaviour of three emerging markets and … exhibits higher stock market volatility during the study period and these volatilities increases during the global financial …, we do not find any evidence of a statistically significant correlation coefficient between the volatility measures and …

returns, volatility of returns, volume of trade or bid-ask spreads in the event window. This suggests one of five …

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our … relationship between volatility and CSAD (cross sectional absolute deviation)/herding, a lower CSAD (movement in a specific … direction) brings about less volatility. However, a high volatility amplifies herding (reduces CSAD), especially in China …

-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention … given to emerging markets that offer higher risk-adjusted returns relative to developed markets. However, despite the … growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by …

equity market returns and volatility over the period 1998–2006. First, both types of news have a significant impact on market … returns. Second, target rate changes are more important than informal communication. Third, the occurrence of monetary policy … reports lowers price volatility. Finally, American emerging markets react more to U.S. news than non-American markets …

volatility affects the hedge fund returns or not is one of the main questions that we ask in the paper. Our results reveal that … stock and bond market volatility do not have a significant impact on fund returns for the most part, which is a result that … index returns in four different emerging market regions. In our estimations we match the fund returns with the regional …

, but consistent with the results of studies for developed equity markets. The volatility effect appears to be growing …. Finally, we find that the volatility effect in emerging markets is only weakly related to that in developed equity markets …