-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention … given to emerging markets that offer higher risk-adjusted returns relative to developed markets. However, despite the … growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by …

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 important than informal communication. Third, the occurrence of monetary policy … reports lowers price volatility. Finally, American emerging markets react more to U.S. news than non-American markets …

fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular … models to take into account different dynamics of equity excess returns between emerging and developed equity indices …. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the …

volatility affects the hedge fund returns or not is one of the main questions that we ask in the paper. Our results reveal that … stock and bond market volatility do not have a significant impact on fund returns for the most part, which is a result that … index returns in four different emerging market regions. In our estimations we match the fund returns with the regional …

This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets … show that the U.S. term structure indeed contains predictive information over emerging stock market volatility, even after … volatility compared to the maturity premium component of the yield spread. We also find that the U.S. term structure has gained …

In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions … models with global factors explain the variation in average stock returns and, in particular, we assess their ability to …

In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share market. Intraday reversals …