This paper investigates the short-run and long-run dynamics among the major sectoral stock indices of the Istanbul Stock Exchange over the period 1997-2011. Long-run relationship among these indices is analyzed by using both conventional Engle and Granger (1987) and Johansen-Juselius (1990)...

This study proposes a process for observing evidence of insider trading in the Athens Stock Exchange (ASE). This is performed by building an environment which, based upon previous research, common sense and information technology, may be used for observing such evidence. It is designed to be...

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our PO results imply that the domestic diversification...

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

Through globalization and financial market liberalization, the opening up of markets has increased cross-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention given to emerging markets that offer higher...

This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the...

The efficient market hypothesis describes an efficient market as one in which investors cannot consistently predict stock returns because prices instantly reflect all the information flowing into the market. However, return predictability has been documented in many markets. This study tests the...

The COVID-19 pandemic, declared on March 11, 2020 by the World Health Organisation (WHO), has had a severe economic and financial impact on every economy around the world. This paper aims to analyze the short-term impact of COVID-19 on global financial stock market indices. We study the impact...

Purpose This paper examines whether there are differences in the nature of the price discovery process across established versus emerging stock markets using a twenty-country sample. Design/methodology/approach The authors analyse security returns for traces of predictability or non-randomness...