This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some developed (US, UK, Japan) and emerging (China, India) markets over the period 01.01.2010-01.01.2020. Average analysis, t-tests, CAR and trading simulation methods are used to test the...

Efficient Market Hypothesis states that financial markets react instantaneous and unbiased to new information. However, in the last decades empirical researches revealed some anomalies in investors reactions to the events that caused shocks on the financial markets. There are two main hypotheses...

Based on qualitative empirical research, we examine the extent to which Central European emerging stock markets were affected by the recent international financial crisis, and how the current investment climate influences investments in Polish equities. We find that global financial crisis...

We examine underlying factors that explain an exceptionally low stock market participation rate among Lithuanian households by carrying out a comprehensive survey of mass affluent individuals. The probit regression analysis of the survey results indicates that lack of financial literacy, low...

We investigate herding in eight African frontier stock markets between January 2002 and July 2015, given the limited evidence on herding in frontier markets. Herding appears significant throughout the 2002-2015 period for all markets, with smaller stocks found to enhance its magnitude. Herding...

Despite the dominance of retail investors in the Chinese stock market, there's a conspicuous absence of price momentum in weekly and monthly returns. This study uncovers the presence of price momentum in daily returns and, through a systematic analysis of trading heterogeneity among investors,...

Abstract: The Indian Stock market has witnessed a major transformation and structural change from the 10 to 15 years as a result of the ongoing economic and financial sec tor reforms initiated by the government of India since 1991.Among these measures, lifting of barriers and opening up the...

In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and trading time, was developed as an...

In the event that the COVID-19 pandemic spreads across various stock markets, this study may be deemed as one of the primary studies to evaluate cross-market interactions. The study examines the spread of contagious effects originating from developed economies (the United States, the United...

In almost all stages of forecasting volatility, certain subjective decisions need to be made. Despite of an enormous literature in the area, these subjectivities are hindrances to reaching an overall conclusion on the performances of the models. In order to find out outperforming model in...