Periods of economic turmoil distort the ability of stock prices to reflect the available information. In the last three decades, emerging markets experienced numerous crises. The major three of them are the Asian Financial Crisis (1997-1998), Global Financial Crisis (2007-2009) and Global...

Market Efficiency has been the objective of many researches across the globe since the last few decades. While some studies conclude that the stock markets are efficient, others cast doubt on this conclusion. In an efficient capital market stock prices incorporate all relevant information when...

We analyze the impact of the most recent global financial crisis (GFC) on the seven most important Latin American stock markets. Our mean-variance analysis shows that the markets are significantly less volatile and, in general, investors prefer to invest in the post-GFC period. Our results from...

Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....

Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets...

The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlation models...