Although the literature on the benefits of diversifying equity portfolios to emerging markets is abundant, the role of frontier markets in global equity portfolio diversification is clearly less examined. We contribute to the existing literature by examining three different, though closely...

This study investigates the time-varying return spillovers among the gold and oil markets and the Chinese equity subsectors using a network system representation. The results of the statics analysis show that crude oil and the majority of equity sectors are the net transmitters of spillovers in...

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using the best fitting model among SGARCH, EGARCH and...

This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies are applied to daily data on country exchange-traded...

This paper aims at contributing to the international portfolio investment decisions among the emerging BRICS countries where individual and institutional investors seek diversification benefits and to help in advocating policy changes and implementation as a response to the changing dynamics in...

This paper investigates whether Bitcoin acts as a diversifier, hedge or safe haven tool for investors in major developed and developing markets, as well as for commodities. This paper employs the GARCH Dynamic Conditional Correlation (DCC) model. The sample covers seven developed and six...

We employ a Boxplot method for detecting and analyzing outlying daily returns of 14 international stock market indices sampled from around the world. The main objective of the paper is to provide an extensive analysis of the main characteristics, features and effects of the detected outlier...

In this article, optimal investment portfolios with minimal risk and maximum efficiency were calculated. The portfolios were designated for ten selected European stock exchanges, based on the listings of the twenty largest companies in each of those markets. All calculations were made based on...

Drawing upon an extensive dataset comprising 3,680 cyberattacks on firms listed in 5 stock markets, our main objective is to ascertain the financial market reaction based on a hybrid valuation inspired by the event study methodology and a counterfactual analysis. Analyses concern three dates...

In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars. Specifically, we investigate Monday effect, Friday effect, January effect and Ramadan effect, from January 2009 to December 2019, using OLS...