This paper measures the extent of comovements in stock returns between Korea and three major countries (China, Japan and the US) using the industry-level data for Korea from 2003 to 2016, in the spirit of the international capital asset pricing model. It also examines what drives the comovements...

Many emerging markets have experienced significant changes in government policies and capital market reforms. These changes may lead to changes in their return-generating processes. Based on Markov-switching models, this paper investigates whether there is more than one regime in the...

In this paper we propose a framework for predicting market returns and volatility using changes in the country's political risk. We identify the appropriate lag to calculate changes over, and show how the changes should be included in mean and volatility equations. The appropriate level of...

Buying profitable, undervalued stocks and shorting unprofitable, overvalued stocks yields significant return differentials in North America, Europe, Japan, and Asia. Using data from 1991-2016, we test Greenblatt's (2006) “Magic Formula” (MF) and find that a modified MF which uses gross...

In this paper, we sought to establish whether Africa's volatile currencies drive equity risk premia. We use the SDF framework to estimate various conditional specifications of the International Capital Asset Pricing Model through generalized method of moments technique. Our results show strong...

In this paper, we analyze the connectedness between the recent spread of COVID-19, oil price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework. The coherence wavelet method and the wavelet-based Granger causality...

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market—changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

We examine time-varying international equity market integration using the VAR-based rolling cointegration analysis and coefficients of the error correction terms. Using Exchange-traded funds (ETFs) as proxies for international equity markets allows us to take advantages of avoiding discrepancy...

This research examines the dynamic relationship between foreign portfolio equity flows and equity returns on the Johannesburg Stock Exchange (JSE). The primary objective of this research is to uncover how equity market returns influence foreign cross border portfolio equity flows and in turn how...

Factor analytic techniques were applied to 18 real estate equity markets using weekly FTSE EPRA/NAREIT data during the period 1997 to 2009. Our results from the exploratory factor analysis suggest three distinct factors during 1997 to 2007. With a single exception, the national returns fall...