very dynamic. Finally, the study shows that the autocorrelation of returns on the main market indexes of the emerging …

The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …

use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative … returns are followed by higher co-exceedance between U.S. and emerging stock markets. Using our approach and controlling for a …

analysis of excess returns following from technical trading rules. -- Securitized real estate markets ; market efficiency …

returns for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests …

We investigate the cross-sectional pattern of stock returns for eight emerging markets using Vector Autoregressive … Approach (VAR) to test whether dividend yields can predict stock returns through impulse response characteristics. Our results … confirm that dividend yield shocks play an important role in driving fluctuation in stock returns and this relation is …