The speculative bubble can be defined as the trade in high volumes at prices that are considerably at variance with intrinsic values of certain assets. The burst of speculative bubble can cause financial crisis in specific form created by situation of investment process dysfunction, when...

Using monthly foreign flows data from Madrid Stock Exchange, we analyze the interaction between foreigners’ trading and stock returns, both marketwide and on individual stocks. We show that global risk appetite has a significant role in driving marketwide foreign investor flows. Our data of...

In this paper, we investigate the effects of international cross-listings on commonality in liquidity. We find that cross-listings have asymmetric effects on cross-listed stocks׳ liquidity commonality that include reducing the stocks׳ liquidity commonality with the local market and increasing...

Home bias is a perennial feature of international capital markets. We review various explanations of this puzzling phenomenon highlighting recent developments in macroeconomic modeling that incorporate international portfolio choices in standard twocountry general equilibrium models. We refer to...

Past studies suggest that the Islamic finance system is only weakly linked or even decoupled from conventional markets. If this statement is true, then this system may provide a cushion against potential losses resulting from probable future financial crises. In this article, we make use of...

Considering the heteroscedasticity and cross-correlation in the error terms of international stock market returns, International Capital Asset Pricing Model (CAPM) is reinvestigated under Seemingly Unrelated Regression (SUR) and SUR with GARCH (SURGARCH) framework.We modified Feasible...

This is the first paper analyzing the impact of index momentum factors on the performance of international and global equity funds. Extending an international, index-based version of the Fama and French (1993) three-factor model by adding the factors of country momentum and sector momentum, we...

Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and...

This paper uses stochastic dominance (SD) analysis to examine whether Islamic stock indexes outperform conventional stock indexes by comparing nine Dow Jones Islamic indexes to their Dow Jones conventional counterparts: Asia Pacific, Canadian, Developed Country, Emerging Markets, European,...

About the EditorsThis book contains the recent contributions of Edwin J Elton and Martin J Gruber to the field of investments. All of the articles in this book have been published in the leading finance and economic journals. Sixteen of the nineteen articles have been published in the last ten...