Al-Nassar, Nassar S. - In: International Journal of Financial Studies : open … 11 (2023) 3, pp. 1-30
This study contributes to the ongoing debate on the size effect and size-based investment styles by investigating the return and volatility spillovers and time-varying conditional correlations among Saudi large-, mid-, and small-cap indices. To this end, we utilize the weekly returns on the MSCI...