This paper investigates the significance of changes in foreign currency sovereign credit ratings for both domestic and cross-country stock market returns of five Asian countries during the period from January 1990 to March 2003. Using the changes in sovereign credit ratings announced by Standard...

This study examines the herding behavior of investors in Chinese stock markets. Using a least squares method, we find evidence of herding within both the Shanghai and Shenzhen A-share markets and no evidence of herding within both B-share markets. A-share investors display herding formation in...

In this paper we use SWARCH models to analyze volatility regime switching and regime interdependence for information technology (IT) stocks in Canada, France, Hong Kong, Japan, Taiwan, the United States and a composite Emerging Markets (EM) index. We find that prior to the IT bubble country...