This paper utilizes a unique high-frequency database to measure how exchange rates in nine emerging markets react to macroeconomic news in the U.S. and domestic economies from 2000 to 2006. We find that major U.S. macroeconomic news have a strong impact on the returns and volatilities of...

The all-stock equity indices provide important information to market participants for asset allocation and investment performance evaluations. In this paper, we construct market capitalization weighted indexes for each of the 23 countries included in the MSCI Emerging Markets index as of...

Der vorliegende Aufsatz untersucht die Ursachen von Finanzmarktkrisen anhand entsprechender Vorkommnisse in Thailand, Mexiko und Tschechien, um risikoreiche Konstellationen für Emerging Markets zu identifizieren. Als Modell wurde der Ansatz von Sachs/Tornell/Velasco (1996) gewählt, der durch...

Der vorliegende Aufsatz untersucht die Ursachen von Finanzmarktkrisen anhand entsprechender Vorkommnisse in Thailand, Mexiko und Tschechien, um risikoreiche Konstellationen für Emerging Markets zu identifizieren. Als Modell wurde der Ansatz von Sachs/Tornell/Velasco (1996) gewählt, der durch...

This paper documents evidence of reversals in the long-term returns of international equity markets. We use recent short-term performance to better select contrarian securities that appear ready to reverse. Our late-stage contrarian strategy consistently provides stronger evidence of long-term...

This paper investigates the behavior of Australian interest rate futures around the release of major scheduled macroeconomic announcements. The analysis of price volatility, returns, trading activity and bid-ask spreads finds that the adjustment to new information occurs quickly with the...

Warren Buffett suggested that the ratio of the market value of publicly traded stocks to economic output could identify equity market mispricings. We extend the existing research from the United States to international equity markets by investigating the return-predictive characteristics of the...

Investment is a part and parcel of life. There are various avenues to invest and one of those is the Stock Market. But the decision of the investor depends on various factors and one of these factors is Terrorism. The chapter focuses on the Long and Short-run Association (LSA) and the influence...

With their transparent and rules-based index review policy and surging popularity, Stoxx Europe indices provide an excellent opportunity to study the index inclusion effect in a pan-European setting. Using a dataset spanning the period from 1999 to 2019, we find sizable positive abnormal returns...

Many research showed a high degree of correlation between the US and European capital markets, partly due to industrial‒financial linkages of the United States and Europe, and partly due to the influence of psychological factors on the behavior of individuals, and the concept of behavioral...