In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we model 1-min squared mid-quote returns, average trade sizes, number of...

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

The aim of this article is to examine how the dynamics of correlations between two emerging countries (Brazil and Mexico) and the US evolved from January 2003 to December 2013. The main contribution of this study is to explore whether the plunging stock market in the US, in the aftermath of...

This article studies the risk forecasting properties of three realized volatility models for three Chinese individual stocks, and reveals the important role that jumps can play in risk prediction. I firstly investigate dynamic pattern of jumps in three Chinese stocks, and find that relative to...

This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk associated with each factor is common across countries....

This paper employes a parametric model of structural breaks in the mean of stock returns which allows them to be endogenously driven by large positive or negative stock market return shocks. These shocks can be taken to reflect important market announcements, monetary policy regime shifts and/or...

In the spirit of Merton (1973), we assert that temporary aggregate market illiquidity is compensated for in the form of higher conditional market returns. In order to test this hypothesis, we use two available liquidity proxies, namely versions of the Amihud illiquidity measure and a measure...

This paper investigates weak form of efficiency in Indian equity market. For this purpose, informational efficiency of National Stock Exchange of Indian's indices i.e. NIFTY, bank NIFTY and IT NIFTY is examined. The NSE indices returns under the study do not confirm to normal distribution. The...

The emerging economy of India counts gold and oil amongst its top imports, suggesting that the prices of these resources affect the domestic inflation and stock market. Expectations on future volatility in these prices might lead to changes in the expected (implied) volatility of the Indian...