In this paper, we examine the effect of corporate ownership on information asymmetry measured by bid-ask spread in the emerging markets of China. We find that government ownership has significant and positive impacts on bid-ask spread during the period of 1995-2000 which disappears afterward...

As asset pricing, especially in emerging markets has been of continued interest in finance, this paper contributes by investigating the presence of periodically collapsing bubbles in seven Asian and seven Latin American emerging markets. Although a number of studies, using different approaches...

We investigate the permanent and transitory effects of sovereign credit ratings on time-varying stock and bond market correlations with their respective regional markets for a sample of up to nineteen emerging countries over the period from 1 January 1994 to 1 July 2007. We find that stock and...

This paper investigates the effect of liquidity on the ex-dividend day price premium. It is well documented that prices drop less than the dividend amount on the ex-day; this market inefficiency is generally attributed to the tax-induced clientele effect and various structural frictions. We show...

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global financial crisis (only China was affected). There was...

This paper utilizes a unique high-frequency database to measure how exchange rates in nine emerging markets react to macroeconomic news in the U.S. and domestic economies from 2000 to 2006. We find that major U.S. macroeconomic news have a strong impact on the returns and volatilities of...

This paper examines long-horizon predictability of stock prices in Sri Lanka using 1-4 year real returns on indices for market and industry portfolio during the 1985-97 period. In a model of prices, which contains a random walk component and a slowly decaying transitory price component, which...

The link between informed trading and the bid-ask spread has been the focus of abundant literature and some authors feared that a large amount of informed trading might lead to shutdown of markets. We explore this issue using data from the Czech Republic. Our estimates confirm that the share of...

This paper investigates the question of market efficiency in a sample of thirty-four emerging markets with different legal systems. We use both dollar and local currency returns to examine whether exchange rate effects can improve our understanding of the information flows in these capital...

The paper contributes to the literature on integration of stock markets by addressing the issue of non-synchronous trading. We argue that controlling for time differences in trading hours of stock markets is important and show that time-adjustment improves estimates of market integration. We...