The Granger causality procedure is used to assess the dynamics of market efficiency of 17 international stock indices. These indices are based on relatively smaller firms. The reference of market efficiency is a stock index, from the same economy, which is based on relatively larger firms. There...

We construct a global implied volatility surface by combining information from the index options of twenty countries and regions. The convexity of the global surface positively predicts equity premia around the world, in- and out-of-sample, at horizons from one to twelve months. Semi-annually,...

This paper investigates short selling behavior, particularly by foreign investors, during event days of non-normal times on an intraday basis in the Korean stock market around the global financial crisis. Although, in the several subsamples, we cannot exclude the predatory short-selling...

In this paper, we explore whether the adaptive markets hypothesis (AMH) describes the efficiency of the Finnish stock market better than the efficient markets hypothesis (EMH) does. Building on this, we also test how small market size and market liberalisation impact the efficiency of the...

Stock markets, just like other sectors of businesses have been impacted by the COVID-19 pandemic. COVID-19 has caused things to change in some sort; behavior, culture, and economy. Investors’ behavior and expectations may have been shaken. Huge stock market dislocations may have occurred as...

The ancient Chinese Almanac lists days that are (in)auspicious for certain actions or events. We find that the initial returns for Initial Public Offerings (IPO), an essential corporate event, are significantly lower on days listed by the Almanac as unlucky. The effect of calendar superstition...

The Silicon Valley Bank (SVB) collapse is the most significant US bank failure since 2008. Considering the new role of social media to effect bank runs, it is critical to investigate the impact of this collapse on US market sectors. Using an event study approach, we identify significant...

We study the informational efficiency of the Saudi stock market (SSM), while accounting for corporate governance change, based on single, multiple, and variance ratio-based WALD tests and runs test. The main findings indicate that when the whole period is considered, the random walk hypothesis...

This paper investigates the asymmetric volatility behavior of Nepalese stock market including the spillover effects from the US and Indian equity markets. We model asymmetric volatility within generalized autoregressive conditional heteroscedasticity framework using a comprehensive data for...

This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are...