In this paper, we analyse historical stock market volatility and co-movement behaviour of three emerging markets and three developed economies from January 2001 to December 2012. We find evidence that the sample of emerging economies exhibits higher stock market volatility during the study...

The paper examines the stock markets of 41 countries over a 10 year period from January 1996 to December 2005 using the classical stock synchronicity measure developed by Morck et al. (2000). The study finds evidence that stock markets in emerging economies are more synchronous than in developed...

This paper analyses stock synchronicity measures proposed by Morck et al (2000), the classical measure and the R square measure. The Study finds evidence that stock markets of emerging economies are more synchronous than the developed economies using both the synchronicity measures. It is found...

Motivated by the rapid spread of novel coronavirus COVID-19 outbreak in the world. This study explores the stock markets' response to the global COVID-19 pandemic in developing countries. We make use of a panel dataset including 685 observations from 13 countries in the Middle East and North...

This article examines announcement effects of 240 international joint ventures undertaken by firms to ascertain their impact on shareholders' wealth. The positive-multinational-network hypothesis suggests that the market reaction should be related to the option value of the venture. To test the...

This paper is an empirical investigation into the role of credit history in determining the spread on sovereign bank loans. It employs an error-in-variables approach used in rational-expectations-macro-econometrics to set up a structural model that links sovereign loan spreads to realized...

Modern financial regulation has been about the spread of market-sensitive riskmanagement systems for banks, the spill-over of this approach to other financial institutions and the retreat of regulatory ambition. There is evidence that these trends are leading to a more fragile financial system,...

The paper investigates value and momentum factors in 23 developed international stock markets. We find that typically value and momentum premia are smaller and more negatively correlated for large market capitalization stocks relative to small. Momentum factors are more highly correlated...

We construct a state-dependent trivariate GARCH-M model to extract state-dependent risk-aversion coefficients around the 1997-1999 financial meltdown. These coefficients are further used to decompose sector risk into global (systematic), country-specific (diversifiable through global country...

The purpose of this paper is to develop a pertinent hypothesis whether wealthy economies are likely to have better accounting quality compared to their poor counterparts. Prior literature has suggested that wealthy economies are expected to invest more in the establishment and development of the...