The aim of this work is to find the dynamics of interdependencies and similarities between European, American and Asian stock markets. The investigation covers daily returns of 36 market indices. In order to examine the dependencies between these data, the Markov regime switching copula model...

The answer to the question posed in the title is mostly yes. Using sorting and cross-section, we investigate the impact of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia, Czech Republic, Estonia, Hungary, Latvia, Lithuania,...