has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the … time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of … particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital …

findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the …

and 1998. We document a positive relationship between institutional allocation and day one IPO returns. This is partly …-building theories. However, institutional allocation also contains private information about first-day IPO returns not reflected in pre …-market demand and other public information. Our evidence supports book-building theories of IPO underpricing, but suggests that …

The monthly volatility of IPO initial returns is substantial, fluctuates dramatically over time, and is considerably … larger during "hot" IPO markets. Consistent with IPO theory, the volatility of initial returns is higher among firms whose … the efficacy of the traditional firm commitment underwritten IPO process. One implication of our results is that alternate …

reservations about the impact of foreign speculators on both expected" returns and market volatility. We propose a cross … receipts country funds and other financial instruments, in an extranational market and market volatility in emerging equity … volatility and correlation are less robust." …

opportunities for investors. These markets exhibit high expected returns as well as high volatility. Importantly, the low …

in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries …

volatility through time. We are particularly interested in understanding whether periods of high volatility are correlated across … countries. The analysis uses both on univariate and bivariate switching volatility models. Our results do not rely on the … correlation coefficients, but on the co-dependence of volatility regimes. The results indicate that high-volatility episodes are …