This study investigates the relation between volatility in the returns and trading volume adjusted for overall up/down price movement in 59 stocks from the Australian market. Two proxies for rate of information arrival accommodating up/down price movement over the trading period and the...

Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence of the SVI–stock market activities...

The finite sample performance of the Wald, Generalized Method of Moment (GMM) and Likelihood Ratio (LR) tests of multivariate asset pricing tests have been investigated in several studies on the US financial markets. This article extends this analysis in two important ways. Firstly, considering...

In the multiscaling approach a time series is decomposed into different time horizons referred to as timescales. In this paper we investigate the risk-return relationship in a downside framework using timescales. Two measures of downside risk; downside beta and downside co-skewness are...

Several studies advocating safety first as a major concern to investors propose downside beta risk as an alternative to the traditional systematic risk- beta. Downside measures are concerned with a subset of the data and therefore the results in the studies that consider the downside beta only...

This paper identifies banking crises dates based on market information embedded in banking stocks. Specifically, we estimate returns on banking indices around the world using a Markov Switching Autoregressive (MS-AR) model to capture regime shift behaviour in both the mean and variance from 1995...

We develop a framework that allows a multivariate system of long memory processes to be conditional on specific regimes to investigate the effects of credit rating agencies (CRAs)' sovereign credit re-ratings on European stock and currency return distributions via their first four realized...