Harry Markowitz (1959) develops "mean-variance model". Based on this model, Sharpe (1964), Lintner (1965) and Black (1972) build CAPM. However, empirical findings are not in favor of CAPM. Then，Merton (1973) generalizes CAPM and proposes ICAPM. Afterwards, Fama and French (1996) take the idea...

This paper attempts to measure the risk and return relationship in Dhaka Stock Exchange (DSE) of Bangladesh. Applying Single Index Model, the study reports statistically significant positive relationship between risk and return both at the individual security level and at the portfolio level....

The pattern of correlation between stocks and bonds has important implications for optimal cross-market asset allocation decisions, and risk management strategies by investors. Earlier empirical studies assumed a constant stock-bond correlation. An increasing number of recent studies however,...

We investigate the long-run holding returns of the stocks listed on eight Japanese stock exchanges with weekly return data from 1977 through 2007. We find existence of significant positive autocorrelations for the smallest and the middle quintile portfolios from the variance ratio test, but not...

This paper examines investors' trading behaviors in Chinese stock markets by studying five stock indices that cover Chinese common stocks in three stock exchanges — Shanghai, Shenzhen, and Hong Kong. Our empirical results suggest that there exists a significant positive feedback trading effect...

Using a simple sign test, we report new empirical evidence, taken from both the US and the German stock markets, showing that trading behavior substantially changed around Black Monday in 1987. It turned out that before Black Monday investors behaved more as in the momentum strategy; and after...

The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test...

Using a simple sign test, we report new empirical evidence, taken from both the US and the German stock markets, showing that trading behavior substantially changed around Black Monday in 1987. It turned out that before Black Monday investors behaved more as in the momentum strategy; and after...

The co-movement of revenue growth across different industries changes over the business cycle. Using a large sample of quarterly firm revenues, aggregated to industry data from 1969 to 2009, we demonstrate that the correlation is the highest during a crisis. Our findings of structural changes in...

This research paper investigates the stock market movements and linkages between the Asian emerging markets (China, India, Indonesia, Korea, Malaysia, Philippines, Taiwan and Thailand) and two developed markets (i.e. USA and Japan). This study employs the statistical application of descriptive...