This paper investigates the day of the week effect on seven emerging Asian stock markets returns and conditional variance (volatility). The empirical research was conducted using the GARCH model and daily returns from India, Indonesia, Malaysia, Philippines, South Korea, Taiwan, and Thailand...

The tragic events of 11 September 2001 in the USA is said to have adversely affected the global economy and the financial markets around the world. This paper empirically investigates the effects of the terrorist attacks and the period after on the time-varying beta (risk) of a few companies in...

This paper investigates stock market mean returns and volatility spill-over between four major Pacific-Basin markets before and after the 1987 world wide stock exchange crash. The four markets used are Australia, Hong Kong, Japan and Singapore and the empirical tests are conducted by means of a...