The aim of this study is to determine whether the DOW effect still exists, and to evaluate empirically the explanations of the DOW effect for international equity markets. Evaluating 51 markets in 33 countries for the period between January, 2000 and December, 2007, reveals that the DOW effect...

This study provides evidence of the US implied volatility's effect on international equity markets' returns. This evidence has two main implications: i) investors may find that foreign equity returns adjusting to US implied volatility may not provide true diversification benefits, and ii)...

Purpose: As investors' fear have an impact on their risk-return tradeoff, this fear leaves markets susceptible to sudden and large fluctuations. Markets develop a long- run normal and regulatory actions should be different for non-normal trading days. Regulators should amend their precautionary...

Risk aversion theory is based on individuals' choice among risky assets with expected utility in its foundation. It is about investor behavior (i.e. investor choice), under normal circumstances, towards assets with various levels of risk. A positive and marginally diminishing relationship...