Zhang, Zhichao; Sun, Wai; Wang, Hua - In: Applied Financial Economics 18 (2008) 21, pp. 1681-1695
Financial anomalies in emerging markets can be caused by very different reasons than that in mature markets. In a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, we examine financial anomalies in emerging markets from a new perspective, which focuses on heavy political...