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...

We examine stock index futures and Treasury futures around the release time of 30 U.S. macroeconomic announcements. Nine of the 20 announcements that move markets show evidence of substantial informed trading before the official release time. Prices begin to move in the “correct” direction...

We examine stock index and Treasury futures markets around releases of U.S. macroeconomic announcements. Seven out of 21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices begin to move in the "correct" direction about 30 minutes...

In today’s interrelated economies, financial information travel at speed of light to reach investors around the globe. Global financial markets experience regular shocks that transmit negative waves to other equity markets and different asset classes. Given the unique characteristics of...

Using a large sample of firms listed on the Korea Stock Exchange over the 1992-2002 period, this paper investigates a hitherto unexplored question of whether and how trading by foreign and domestic institutional investors improves the extent to which firm-specific information is incorporated...

This paper examines the role of foreign investors in promoting stock price efficiency in emerging stock markets relying on the fact that stock prices in these markets are influenced by both local and global factors. We employ a data sample of Vietnamese listed firms on the Ho Chi Minh City stock...

I examine intraday stock returns in the Istanbul Stock Exchange (ISE) around non-trading periods – weekends and holidays – by utilizing the exchange's structure of two trading sessions. I find that returns are generally more positive in the last session on Fridays and more negative in the...

The study is carried out to test the co movements of Indian stock market with select major emerging markets over the globe. Various techniques like the Unit Root test, Cointegration test, Causality test, Vector Auto Regression, Impulse Responses. Variance Decomposition and Vector Error...

An investor, as Warren Buffett said, should think like a part-owner when investing in common stocks. As a part-owner, the investor should be concerned about the competitive positioning of the business he/she is invested in as a business that is relatively insulated from competitive actions, will...

In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions - Latin America, EMEA, Asia, and BRIC. We document a strong and highly significant value effect, and a strong but less significant momentum effect. Substantial value and momentum...