The persistence in time of the calendar anomalies is one of the most disputed subjects from the financial literature. Quite often, the passing from quiet to turbulent periods of time provokes radical changes in the investors’ behaviors which affect the stock markets seasonality. In this paper...

Purpose – The purpose of this paper is to analyze volatility transmission between the Japanese stock and foreign exchange markets. Design/methodology/approach – In contrast to the existing literature, industry-level stock data are applied to a trivariate Baba, Engle, Kraft and...

Purpose – The purpose of this paper is to examine volatility transmissions between portfolios of cross-listed equities and exchange rate differences and also the volatility persistence for home, foreign equities, and exchange rate differences in the UK and German markets....

China occupies a unique position among developing countries. Its success in achieving relative stability in the financial sector since the institution of reforms in 1979 has given way to relative instability since the beginning of the current global financial crisis. Over the last few years,...

Purpose – The purpose of this paper is to estimate volatility in African stock markets (ASMs), taking account of periodic level shifts in the mean level of volatility, where the regime shifts are determined endogenously. Design/methodology/approach – Volatility estimates are incorporated...

El trabajo analiza si la interrelación entre el mercado bursátil español y las bolsas de Estados Unidos, Reino Unido, Alemania y Francia se ha visto afectada y cómo por la reciente crisis financiera. Para ello, se estima un modelo VAR-GARCH bivariante, durante el período enero de 2000 a...

Purpose -The purpose of this paper is to empirically investigate whether call auctions which batch orders for simultaneous execution, may restrain stock market volatility. Design/methodology/approach -The authors use high-frequency data to investigate volatility changes following the suspension...

Recent empirical evidence based on a linear framework tends to suggest that a Markov-switching version of the consumption-aggregate wealth ratio (cayMS), developed to account for structural breaks, is a better predictor of stock returns than the conventional measure (cay) – a finding we...