This study examines the statistical properties required to model the dynamics of both the returns and volatility series of the daily stock market returns in six Gulf Cooperation Council countries, namely Bahrain, Oman, Kuwait, Qatar, Saudi Arabia, and the United Arab Emirates, under different...

We document empirical evidence that the investment patterns of the two most relevant investor groups from regions with hierarchical structures in the German stock market, namely China (including Hong Kong) and the Gulf Cooperation Council, differ substantially. Chinese investors buy large shares...

In this paper, the effects of the US stock market returns, exchange rate changes and volatilities on stock market volatilities in 10 emerging market economies between 2000-2013 (also two sub-periods covering the time between 2000-2007, and between 2008-2013) have been analysed with separate 30...

In this study, we analyze the effects of sovereign credit rating reviews on national stock market performances in GIIPS and BRIC countries during the European Sovereign Debt Crisis of 2009-2013. Through an event study, we test the Null Hypothesis that cumulative abnormal returns on national...

This study is the first attempt to investigate stock market returns and liquidity reactions to the announcements of fiscal, monetary, prudential and other COVID-19 policies in 64 countries during 2020. The results reveal generally that financial and economic policies announcements boosted stock...

Over the past decade, one popular way for Turkish banks to remove nonperforming loans (NPLs) from their balance sheets has been to sell them to asset management companies. We examine the short-term market reaction to the announcements of such NPL sales over the period 2009-2019. We also consider...

The attempt of this article is to fill a gap in the equity trading risk management literature and particularly from the perspective of emerging and illiquid financial markets, such as in the context of the Moroccan stock market. This paper provides real-world risk management techniques and...

We investigate the economically and statistically significant positive correlation between monthly foreign purchases of Mexican stocks and Mexican stock returns. We find that a 1 percent of market capitalization surprise foreign inflow is associated with a 13 percent increase in Mexican stock...