This study investigates the performance of linear versus nonlinear methods to predict volatility and effects of asymmetric pattern on the emerging markets of Asia i.e.; China, India, Indonesia Pakistan, Bangladesh and Malaysia. Daily data of stock market returns is taken for the period January...

The main purpose and scope of this empirical study is to explore the causal and dynamic linkages of KSE-100 with emerging stock markets of India, China, Hong Kong, Malaysia, Indonesia, Thailand, Turkey, and Brazil, as well as with the developed stock markets of Japan, USA, UK and France for the...

This study investigates the presence of the MAX effect – stocks with extreme daily (positive) return in the current month perform poorly in the following month – in the Pakistani stock market (PSX). Similar to the US, Europe, and Chinese stock markets, we find a negative effect of MAX on...