Purpose – This paper aims to examine the relationship between the correlation among the 30 stocks in the Dow Jones Industrial Average and overall returns on the broader market from 1950 to 2008. Design/methodology/approach – The paper computes historical correlation of the 30 stocks in the...

In this paper, we show that aggregate illiquidity is a priced risk factor on the Shanghai Stock Exchange (SHSE). We develop the relationship between the illiquidity factor, asymmetric information, and market decline. Our empirical results show that while the illiquidity factor is a source of...

The wide range of contributing factors and circumstances surrounding crashes on road curves suggest that no single intervention can prevent these crashes. This paper presents a novel methodology, based on data mining techniques, to identify contributing factors and the relationship between them....

This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the stock market crash risk. The empirical results show...

Although the literature on the benefits of diversifying equity portfolios to emerging markets is abundant, the role of frontier markets in global equity portfolio diversification is clearly less examined. We contribute to the existing literature by examining three different, though closely...