This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...

The current study attempts to investigate that the depressed wealth effect of liquidity risk is priced in developed and emerging markets or not. Multiple liquidity measures including Amivest liquidity, market efficiency coefficient, Roll estimator and value turnover are used in the study for...

Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical uncertainty outperform their counterparts with the lowest...

We examine the Exchange Rate Volatility (ERV) response to the Economic Policy Uncertainty (EPU) shocks from a panel VAR perspective used for the first time in this context. Focusing on Emerging Market Economies (EME), our noteworthy findings postulate that (a) both home and foreign EPU shocks...

We examine the Exchange Rate Volatility (ERV) response to the Economic Policy Uncertainty (EPU) shocks from a panel VAR perspective used for the first time in this context. Focusing on Emerging Market Economies (EME), our noteworthy findings postulate that (a) both home and foreign EPU shocks...

Motivated by Huang et al.'s (2013) recent arguments, we empirically examine the risk-return tradeoff in a liberalized emerging stock market, Vietnam during 2007 to 2014. We find that: i) neither realized idiosyncratic volatility nor conditional idiosyncratic volatility has been priced; ii) both the...

In this paper we examine risk-return trade-off of investing in Latin American emerging stock markets. In particular, the study seeks to examine whether equities from Latin American emerging markets might have offered the Canadian investor high returns for a relatively low level of risk when...