Motivated by Bali et al. (2011) and Ang et al. (2006 & 2009), we examine the cross-sectional relationship between the expected stock return and both the maximum daily return (MAX) and the idiosyncratic volatility (IVOL) in the five largest emerging African stock markets over the period from 2001...

Recent evidence in the U.S. and Europe indicates that stocks with high maximum daily returns in the previous month, perform poorly in the current month. We investigate the presence of a similar effect in the emerging Chinese stock markets with portfolio-level analysis and firm-level Fama-MacBeth...

This paper empirically investigates the exchange rate volatility-FDI nexus in selected Economic Community of West African Sates (ECOWAS) countries using time series data from 1986-2017. Using Autoregressive Distributed Lag (ARDL) model and Toda-Yamamoto (1995) causality techniques, the effects...

This paper examines the impact of exchange rate risk on Turkish textile export. Firstly, the background information regarding the history of exchange rate volatility and textile industry in Turkey is explained. Then the elements that create textile sector production and export are elaborated...

This study shows that during the FIFA World Cups, the Olympic Games, and Christmas and New Year, the average daily volatility persistence is near zero across 17 equity indices in 14 developed economies. During the World Cups, the volatility persistence decreases with proxies for the intensity of...

In the past decades, there has been an unprecedented increase in cross border transactions between countries in terms of goods and financial flows. This integration has been fuelled by search of lower risk investments, risk diversification, search for cost effective and more efficient factors of...

In the past decades, there has been an unprecedented increase in cross border transactions between countries in terms of goods and financial flows. This integration has been fuelled by search of lower risk investments, risk diversification, search for cost effective and more efficient factors of...

Changes in monetary policy and shifts in dynamics of the macroeconomy are typically described using empirical models that only include a limited amount of information. Examples of such models include time-varying vector autoregressions that are estimated using output growth, inflation and a...

This study aims to achieve a two-fold research objective: first, to econometrically investigate hypothesized linkages between real estate and stock markets by fitting different classes of time-varying volatility model; second, to perform VaR-type stress testing by using the fitted asset price...

We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy rate by 150 basis points causes output and inflation...