We analyze investors' motives for trading on international stock markets and investigate whether evidence for these motives is robust when time-varying market volatility, changes between calm and turbulent periods, and existence of international financial spillovers are controlled for. Applying...

In this paper, returns and volatility spillovers between emerging capital markets of Central and Eastern Europe, Latin America, and South-East Asia are investigated. We extend the existing empirical evidence on financial spillovers by distinguishing between linkages among countries located in...

In this paper, we investigated changes in the linkages between capital markets by applying the threshold vector autoregressive (TVAR) models to the stock returns of the US and of four East-South Asian markets. We employed the estimating and testing procedures proposed by Tsay (1998) and Hansen...

We investigate breaks in financial spillovers between the US and eight South-East Asian capital markets before and during the 1997 Asian crisis. We construct threshold vector autoregressive models and apply novel techniques to test whether causality patterns between markets are characterized by...

This paper investigates the dynamic relationship between index returns, return volatility, and trading volume for eight Asian markets and the US. We find crossborder spillovers in returns to be nonexisting, spillovers in absolute returns between Asia and the US to be strong in both directions,...

In this thesis, I investigate diverse aspects of capital market efficiency in selected emerging markets. In chapter 2, the focus of analysis is on the role of trading volume and capitalisation in the process of information absorption by the stock prices. Empirical analysis is conducted for...

This paper investigates the dynamic relationship between index returns, return volatility, and trading volume for eight Asian markets and the US. We find cross-border spillovers in returns to be nonexistent, spillovers in absolute returns between Asia and the US to be strong in both directions,...

We analyze the autocorrelation structure of returns and volatility of stocks listed in the single auction system on the Warsaw Stock Exchange during the period January 1996 - October 2000. First, we find that size- and volume-related cross-autocorrelation in portfolio returns exists even after...