This paper examines the behavior of seasonal anomalies in Dhaka Stock Exchange (DSE) of Bangladesh and whether the time varying nature of the anomalies is in line with Adaptive Market Hypothesis (AMH). With this aim the research investigated whether the changes in market conditions, for example:...

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 GARCH model, we study the effects of Federal Funds target rate changes and FOMC communication on emerging equity market returns and volatility over the period 1998–2006. First, both types of news have a significant impact on market returns. Second, target rate changes are more...

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

In this paper, we estimate several augmented [Treynor and Mazuy1966] models to examine the performance of hedge fund index returns in four different emerging market regions. In our estimations we match the fund returns with the regional emerging market equity and bond index data, which is a...

We test whether credit risk for Emerging Market Sovereigns is priced equally in the credit default swap (CDS) and bond markets. The parity relationship between CDS premiums and bond yield spreads, that was tested and largely cofirmed in the literature, is mostly rejected. Prices below par can...

This paper examines the time-series predictability of aggregate stock returns in 20 emerging markets. In contrast to the aggregate-level findings in US, earnings yield forecasts the time-series of aggregate stock returns in emerging markets. We consider aggregate earnings not as normalizing...

This paper will examine seasonal effect anomalies in emerging stock markets using monthly returns in a number of emerging stock markets from Africa and Asia. In addition, the paper will try to report an explanation for this phenomenon in case that it occurs. This study utilizes methodologies...

In this paper, we identify long-term prior return patterns in stock returns for Brazil, Russia, India, China, South Korea, and South Africa (BRICKS) markets from January 1993 to February 2008. While Brazil, Russia and South Africa report momentum behavior, India, China and South Korea exhibit...

This paper studies the comparative attractiveness of public equity investments in the Polish (emerging) and in the U.S. (advanced) stock markets in the years 2000-2013. Through an original implementation strategy based on one- and multi-factor asset pricing models, we find that the potential for...