Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns. The test is used to detect whether asymmetric comovements...

We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to...

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....

International financial markets are said to be excessively volatile due to destabilizing speculation and excessive market volume. Transactions taxes might help. From studying the literature we conclude that there must be an optimal market liquidity, which minimizes excess volatility. There are...

The objective of the paper is to analyse the impact of the Swiss National Bank's decision to introduce the floati ng exchange rate of the franc on January 15th, 2015, upon the market value of commercial banks operating in the Polish banking sector. The analysis involved twelve commercial banks...

The COVID-19 pandemic, declared on March 11, 2020 by the World Health Organisation (WHO), has had a severe economic and financial impact on every economy around the world. This paper aims to analyze the short-term impact of COVID-19 on global financial stock market indices. We study the impact...

Characterizing asset price volatility is an important goal for financial economists. The literature has shown that variables that proxy for the information arrival process can help explain and/or forecast volatility. Unfortunately, however, obtaining good measures of volume and/or order flow is...

Globalization and financial sector reforms in India have ushered a vibrant change in Indian economic system. Current growth of India puts it's among the largest and fastest growing economy of the world. Following the liberalization, Asian economy is becoming the hub of world economy. Sixty...

This paper is motivated by the controversial issue in the literature pertaining to the impact of real exchange rate, housing prices and stock prices on current account fluctuations. Thailand's quarterly data are used to examine the impacts of shocks to asset prices and real exchange rate on the...

This paper estimates the cash flow and real effects of currency mismatches generated by foreign-priced operations of French manufacturers. The value of transactions invoiced in foreign currencies is twice as sensitive to exchange rates as the value of transactions invoiced in the domestic...