A curious seasonal anomaly found in finance is the turn of the month effect, where the daily mean return of stock market at the end of a month and beginning of a month is significantly higher than the average daily return of all the days of a month. There have been evidences that certain months...

This paper investigates co-movement in eight Latin-American stock markets (Argentina, Brazil, Chile, Colombia, Ecuador, Mexico, Peru, and Venezuela) using common factor analysis. The common factors are obtained using principal component analysis (PCA) and therefore account for the maximum...

This paper examines the impact of national culture on herding behaviour across international financial markets. The relation between national culture and investor behaviour, and how it impacts overall market volatility is studied by examining synchronized stock price movements and stock market...

The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

When is the best time to invest in the stock market? The paper analyzes the best and worst investment periods for each of the twelve months as well as 41 countries and 3 global regions. The paper provides an international perspective to Yale Hirsch's analysis of the United States' stock market....

Efficiency in stock markets is essential for economic stability and growth. This study investigates the efficiency and herding behavior of the stock markets from the top economies of the world (known as G20 countries). We classify stock market indices using MSCI classification for the developed...

The twenty-first century may well be the time when the balance of power shifts to Brazil, Russia, India and China, nations collectively referred to as BRICs economies. These nations constitute the shape of the future, giving rise to a new world economy. Leaders in BRICs are frenetically laying...

The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in modelling time series with time varying volatility. These include financial data, which can be particularly heavy tailed.This paper investigates the time-series behavior of...

We perform the most comprehensive test of long-term reversal in national equity indices ever done. Having examined data from 71 countries for the years 1830 through 2019, we demonstrate a strong reversal pattern: the past long-term return negatively predicts future performance. The phenomenon is...

In this paper, we use a unique long-run dataset of regulatory constraints on capital account openness to explain stock market correlations. Since stock returns themselves are highly volatile, any examination of what drives correlations needs to focus on long runs of data. This is particularly...