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Testing for differences in the tails of stock-market returns
Jondeau, Eric; Rockinger, Michael - In: Journal of empirical finance 10 (2003) 5, pp. 559-581
Persistent link: https://www.econbiz.de/10001806965
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Are frontier stock markets more inefficient than emerging stock markets?
Dheeriya, Prakash L.; Torun, Erdost - In: International journal of monetary economics and finance 6 (2013) 4, pp. 271-284
Persistent link: https://www.econbiz.de/10010412983
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An investigation of return and volatility linkages among stock markets : a study of emerging Asian and selected developed countries
Bhowmik, Roni; Wang, Shouyang - In: Journal of international trade & commerce 14 (2018) 4, pp. 1-29
Persistent link: https://www.econbiz.de/10011948776
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Estimating Turkish stock market returns with APT model : cointegration and vector error correction
Alp, Ozge Sezgin; Gökgöz, Fazıl; Küçükkocaoğlu, … - In: Economic review : journal of economics & business 14 (2016) 1, pp. 7-19
Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM, Arbitrage Pricing Theory (APT), developed by Ross (1976), describes the expected returns on any financial asset with respect to macroeconomic factors. There are limited researches...
Persistent link: https://www.econbiz.de/10012012458
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Geopolitical risks, returns, and volatility in emerging stock markets : evidence from a panel GARCH model
Bouras, Christos; Christou, Christina; Gupta, Rangan; … - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 8, pp. 1841-1856
Persistent link: https://www.econbiz.de/10012210912
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Do foreign risks affect the stock market in an emerging economy? : a time-series analysis
Awosusi, Abraham Ayobamiji; Ozdeser, Huseyin; Seraj, Mehdi - In: International journal of business and emerging markets … 16 (2024) 1, pp. 71-88
Persistent link: https://www.econbiz.de/10015057272
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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
Persistent link: https://www.econbiz.de/10003880585
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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...
Persistent link: https://www.econbiz.de/10003887350
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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...
Persistent link: https://www.econbiz.de/10003891055
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Impact of the 2007 US financial crisis on the emerging equity markets
Majid, Muhammad Shabri Abdul; Kassim, Salina - In: International journal of emerging markets 4 (2009) 4, pp. 341-357
Persistent link: https://www.econbiz.de/10003894056