The issue of corporate exposure to exchange rate risk of is well researched in the international finance literature, but less approached in the case of emerging markets.

Using generalized Hurst exponent, we investigate the presence of long-range dependence in the stock markets and exchange rates (vis-a-vis US dollar) of all in ation targeting countries having oating currencies. Many studies with a data set from pre-2008 crisis and that developed markets are less...

This paper studies the time-variant interactions among US stocks, emerging market bonds and US low-grade corporate bonds. All of these assets are characterized by a similar average return, but returns are far from being perfectly correlated. Therefore, investing in these different assets...

This study attempts to estimate the impact of mega sports events organization on the stock market. For this purpose, there were selected seven sporting events taking place in the World Cup and European Football Championships and summer and winter Olympic Games. Next their impact on national...

This paper examines whether stock prices for 16 countries are trend stationary or follow a random walk process using the (Zivot and Andrews, 1992) and (Lumsdaine and Papell, 1997) tests and monthly data (1987:12-2005:12). With one structural break, the ZA test results provide evidence in favour...

This paper examines the short-term price reactions after one-day abnormal price changes on the Ukrainian stock market. The original method of abnormal returns calculation is examined. We find significant evidence of overreactions using the daily data over the period 2008-2012. Our analysis...

(VF) Dans cet article, nous développons une nouvelle mesure du sentiment des investisseurs en Europe à partir d’une analyse de contenus d’articles issus du Financial Times. Nous trouvons que notre mesure du sentiment influence la performance boursière des entreprises difficiles à...

Focusing on five major emerging markets, I investigate the interactions between credit default swap premiums, foreign exchange rates, local currency government bond spreads, and national stock market returns over the period 4/2/2007 to 8/27/2009. Empirical analysis indicates that bond markets,...

Motivated by the shortcomings of earlier Chinese efficiency studies, the present paper re-examines the weak-form efficiency of Shanghai and Shenzhen Stock Exchanges. Specifically, our adopted methodologies mitigate the confounding effect of thin trading on return autocorrelation, detect both...

An increasing number of market participants utilise news analytics software to comprehend the large amounts of unstructured data flowing through news-wires. Utilising original data from one such tool – Ravenpack – I examine the market reaction of leading Australian stocks to stock-specific...