This paper examines the hypothesis that both stock returns and volatility are asymmetric functions of past information derived from domestic and U.S. stock-market news. The results show the presence of negative autocorrelation, which is consistent with the dominance of positive-feedback trading...

We apply the Kalman filter method to estimate nine Asian markets and find evidence that stock return dispersions decline as markets experience stress conditions, supporting the existence of herding. This paper finds that herding behavior is time-varying and comoving across markets. Both linear...

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...