This paper introduces an alternate measure of idiosyncratic risk leveraged from the decomposition method to further eliminate the residual systematic risk inherent in the factor asset pricing model. Combining both complementary techniques contributes to a more comprehensive firm-level...

This paper examines the changing correlations between the equity returns of Australia and the emerging equity markets and the tests the volatility, as a factor, that may cause the correlations to change over time. Linear regression estimates of Asymmetric Dynamic Conditional Correlation Model,...

Policymakers fear the potentially destabilizing impact of fickle global investors on emerging markets. Euro area investors are significant participants in emerging bond markets and exhibit volatile flows, but their fickleness does not result in indiscriminate periods of surge and flight....

This study investigated the directional linkages among net foreign portfolio investment volatility, financial deepening and capital market performance in low-income Southern African Development Community (SADC) countries employing a dynamic panel vector error correction model (P-VECM) on...

We propose a simple metric to measure two aspects of market integration, namely economic integration (defined as a common cash flow dynamic) and financial integration (defined as a common risk pricing dynamic) and then examine their evolution through time while controlling for volatility. We...

In an augmented [Treynor and Mazuy, 1966] model, we find that realized volatility of emerging market financial indices generally have a negative impact on the performance of hedge funds operating in these markets. Our hypothesis is that daily trading activities related to overconfidence and...

In this paper, I use the Busse (1999) volatility timing model and the cubic model in Holmes and Faff (2004) to examine the volatility timing ability reflected in the hedge fund indices from four major emerging market regions. The performance of the emerging market hedge fund indices are...

Using the "trilemma indexes" developed by Aizenman et al. (2010) that measure the extent of achievement in each of the three policy goals in the trilemma - monetary independence, exchange rate stability, and financial openness - we examine how policy configurations affect macroeconomic...

Using the “trilemma indexes” developed by Aizenman et al. (2008) that measure the extent of achievement in each of the three policy goals in the trilemma – monetary independence, exchange rate stability, and financial openness – in this paper we examine how policy configurations affect...

Using the “trilemma indexes” developed by Aizenman et al. (2008) that measure the extent of achievement in each of the three policy goals in the trilemma — monetary independence, exchange rate stability, and financial openness — this paper examines how policy configurations affect...