In this paper, we analyse historical stock market volatility and co-movement behaviour of three emerging markets and … exhibits higher stock market volatility during the study period and these volatilities increases during the global financial …, we do not find any evidence of a statistically significant correlation coefficient between the volatility measures and …

returns volatility in fifteen Asia Pacific Financial Markets in the post Asian financial crisis period. A set of parametric …-days-of-the-week. The results validate the presence of the-day-of-the- week and but indicate insignificant daily returns volatility in most … and non-parametric tests is used to test equality of mean returns and standard deviations of the returns across the …

A multivariate VAR-EGARCH is used to examine the returns and volatility dynamics between thin-traded adjusted equity … returns from Ghana, Kenya, Nigeria and South Africa. The findings suggest a reciprocal return spillover between Ghana and … Kenya, and between Nigeria and South Africa. In addition, Nigeria appears to be the source of volatility innovations in …

returns, volatility of returns, volume of trade or bid-ask spreads in the event window. This suggests one of five …

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our … relationship between volatility and CSAD (cross sectional absolute deviation)/herding, a lower CSAD (movement in a specific … direction) brings about less volatility. However, a high volatility amplifies herding (reduces CSAD), especially in China …

-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention … given to emerging markets that offer higher risk-adjusted returns relative to developed markets. However, despite the … growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by …