Prior research documented that U.S. stock prices tend to grow faster during Democratic administrations than during Republican administrations. This letter examines whether stock returns in other countries also depend on the political orientation of the incumbents. An analysis of 24 stock markets...

The process of financial integration has increased the exposure of South African financial markets to foreign financial crises. This paper contributes to the understanding of crisis transmission by evaluating several hypotheses that claim to explain how financial crises are transmitted to South...

This paper attempts to examine whether a long-run theoretical relationship does indeed exist between the level of inflation in South Africa and the amount of FDI eventually received by the country. It also attempts to provide insight into the purported macroeconomic benefits of the policy of...

Since the global financial crisis that crippled the world’s financial markets in 2007, interest in nonlinear dynamics in form of deterministic chaos has increased. Hence, the main purpose of this study was to detect if whether stock returns exhibit nonlinear and chaotic tendencies. By using...

Our paper investigates the symmetry in stock returns of the 30 most liquid companies traded on Bucharest Stock Exchange during 2000 – 2011 and also the most representative 5 market indices. Our daily data shows that skewness estimates are slightly negative for most indices and individual...

This study investigates correlations between India’s bustling single stock futures (SSFs) and its peculiar Badla mechanism. Data from the world’s most active SSF market, the National Stock Exchange (NSE) of India, are used. The results indicated that both the Badla mechanism and the...

While the empirical literature has often documented a “default anomaly”, i.e. a negative relation between default risk and stock returns, standard theory suggests that default risk should be priced in the cross-section. In this paper, we provide an explanation for this apparent puzzle using...

U.S. stocks are more volatile than stocks of similar foreign firms. A firm’s stock return volatility can be higher for reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that the volatility of U.S. firms is...

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...

In this paper we study international asset pricing models and pricing of global and local sources of risk in the Russian stock market using weekly data from 1999 to 2006. In our empirical specification, we utilize and extend the multivariate GARCH-M framework of De Santis and Gérard (1998), by...