We analyse carry trades involving the Australian dollar, Indonesian rupiah, Indian rupee, New Zealand dollar and Philippine peso as target currencies. We find evidence supporting the view that downside risk is an important feature of such strategies and propose ways of measuring this risk

We explore how the US presidential effect in stock prices is connected to the US presidential effect in foreign exchange returns to the US dollar. Our results show that the existence of a presidential effect in stock returns depends on how a firm's stock returns are associated with changes in...

This paper provides new empirical evidence for the way in which non-marketability affects asset prices in financial markets. Critically, the results rely on the unique trading friction "T+1" rule in the Chinese A-share market. Consistent with the predictions derived from Longstaff (1995) and...

A curious seasonal anomaly found in finance is the turn of the month effect, where the daily mean return of stock market at the end of a month and beginning of a month is significantly higher than the average daily return of all the days of a month. There have been evidences that certain months...

Global economic integration is putting high pressure of standardization on Vietnam, especially in the financial industry. Its financial market opening process is routed officially in the WTO commitment as well as in the objective of forming a united ASEAN capital market. This paper positions the...

We investigate the investability of commodity risk premia in China. Previously documented standard momentum, carry and basis-momentum factors are not investable due to the unique liquidity patterns along the futures curves in China. However, dynamic rolling and strategic portfolio weights...

In order to examine non-linear predictability of the US and Japanese dividend-yield ratio, smooth transition regression model analysis is applied to an extended time period of data. The theoretical basis for investigating non-linear behaviour in stock returns can be based on the interaction...

Using smooth transition regression model analysis, we examine the non-linear predictability of Japanese and US stock market returns by a set of macroeconomic variables between 1981 and 2012. The theoretical basis for investigating non-linear behavior in stock returns can be based on the...

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

This paper examines the impact of COVID-19 on bank stock returns over various time scales and frequencies. Considering FTSE banking sector returns in 36 countries, wavelet coherency analysis indicates that the number of confirmed COVID-19 cases negatively impacts bank stock returns during...