In this paper, we analyse historical stock market volatility and co-movement behaviour of three emerging markets and … exhibits higher stock market volatility during the study period and these volatilities increases during the global financial …, we do not find any evidence of a statistically significant correlation coefficient between the volatility measures and …

three sets of risk exposures of value and momentum returns: macroeconomic risk, funding liquidity risk, and stock market … liquidity risk. We find that value returns are typically lower prior to a recession while momentum returns often exhibit little … sensitivity. Value returns are typically lower in times of poor funding liquidity, whereas, with notable exceptions, momentum …