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...

This paper investigates how unchecked manipulations could cause frequent trade-induced manipulations and weak-form market inefficiency in South Asian stock markets [Bombay Stock Exchange (BSE), Dhaka Stock Exchange (DSE) and Karachi Stock Exchange (KSE)]. Specifically, the paper analyses the...

Using data on China's split-share structure reform that floats non-tradable shares, we find that Qualified Foreign Institutional Investors (QFIIs) have greater influence over the controlling state shareholders than local mutual funds. QFIIs are less prone to political pressure and are more...

An investor, as Warren Buffett said, should think like a part-owner when investing in common stocks. As a part-owner, the investor should be concerned about the competitive positioning of the business he/she is invested in as a business that is relatively insulated from competitive actions, will...

We hypothesize that trust plays an important role in affecting the activeness and effectiveness of the global mutual fund industry. Empirically, trust is positively associated with the activeness of domestic funds, whereas for internationals mutual funds conducting cross-border investments...

While simultaneously accounting for the effects of sovereign and corporate bond spreads, we document that emerging market economy (EME) equity returns have a strong predictive power for future output growth and account for a significant fraction of output fluctuations in these countries. Our...

Conventional Value-at-risk (VaR) models tend to underestimate stock market losses, as they assume normality and fail to capture the frequency and severity of extreme fluctuations, Extreme value theory (EVT) overcomes this limitation by providing a framework in which to analyze the extreme...

We examine US stock index return and volatility spillovers on the mean and volatility of stock index returns of 21 Frontier markets. We entertain potential time-variation in spillovers in mean returns by considering a time-varying parameter (TVP) model. Spillovers in volatility are modeled by...

This paper investigates variation in the cost of equity capital for the Southeast Asian countries using firm-level data over the period of 1990-2004. It is found that decreases in the firm-level cost of equity capitall have been associated with stock market liberalization and securities market...

This paper will employ the concept of human security as a proxy for measuring the country risk component of frontier market bond credit spreads. A secondary goal is to propose several specific markers of human security and assess how they might perform together as measures of risk