Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency. As a likely consequence of...

This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear...

This paper examines the time-series predictability of aggregate stock returns in 20 emerging markets. In contrast to the aggregate-level findings in US, earnings yield forecasts the time-series of aggregate stock returns in emerging markets. We consider aggregate earnings not as normalizing...

Purpose This paper examines whether there are differences in the nature of the price discovery process across established versus emerging stock markets using a twenty-country sample. Design/methodology/approach The authors analyse security returns for traces of predictability or non-randomness...

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...

In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the...

Even though the forward-spot relationship in currency markets is very important for policy makers and for corporate and investment managers, it remains a theoretical and empirical puzzle. In theory the forward rate should be an unbiased forecast of the future spot rate, but this hypothesis has...

The accurate forecast of the foreign currencies exchange rates at the ultra high frequency electronic trading in the foreign currencies exchange markets is a main topic of our research: 1) the present state of the foreign currencies exchange markets in Asia, Europe and North America; 2) the...

This paper employs the post — Least Absolute Shrinkage and Selection Operator (post — LASSO) to make rolling 1-month--ahead currency excess return forecasts using all other currencies' lagged forward discounts as candidate predictors. The trading strategy of buying (selling) quintile...