The traditional Capital Asset Pricing Model (CAPM) developed by Sharpe, Lintner and Mossin is based on the strong assumption of normally distributed returns among other restrictions. However, especially in emerging stock markets, returns often deviate from normality, even though the series are...

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...

Purpose – The purpose of this paper is to examine the relation between gold return and stock market return and whether its relation changes in times of consecutive negative market returns for an emerging market, Malaysia. Design/methodology/approach – The paper applies the autoregressive...

Purpose –This study examines the initial two-week excess performance relative to the S&P 500 Index of American Depository Receipts (ADRs) listed on the New York Stock Exchange from January 1987 to September 2001 to determine whether short-term wealth effects exist. Design/methodology/approach...

Purpose – The purpose of this paper is to understand if there is a customer perceived value for shareholders in investing in Islamic stocks, by using KMI30 index of Karachi Stock Exchange as a case study. The findings are then used to devise a conceptual model, highlighting the value of an...

Understanding the impact of external shocks on stock markets returns and volatility is crucial for market participants as volatility is synonymous with risk. The focus of this paper is to determine whether the US monetary policy decisions influence the stock market returns and volatility in...

It is important to identify the effects of stock prices on financial and macroeconomic variables when the development of capital markets is concerned. In this study, AB type-SVAR models are employed, whereupon impulse response functions (IRFs) and forecast error variance decompositions (FEVDs)...

Corporate governance encompasses the processes for board effectiveness and enhanced transparent disclosures. Both these requirements result in improved quality and quantity of information made available to investors, which in turn is expected to result in informed trading, reduced information...

The purpose of this study is to examine the short- and long-run relationships between stock market performance and economic growth for six emerging countries (Malaysia, Turkey, Mexico, Korea, India, and Brazil). To this end, the bounds testing approach to cointegration and Granger and...