equity market returns and volatility over the period 1998–2006. First, both types of news have a significant impact on market … returns. Second, target rate changes are more important than informal communication. Third, the occurrence of monetary policy … reports lowers price volatility. Finally, American emerging markets react more to U.S. news than non-American markets …

fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular … models to take into account different dynamics of equity excess returns between emerging and developed equity indices …. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the …

volatility affects the hedge fund returns or not is one of the main questions that we ask in the paper. Our results reveal that … stock and bond market volatility do not have a significant impact on fund returns for the most part, which is a result that … index returns in four different emerging market regions. In our estimations we match the fund returns with the regional …

, but consistent with the results of studies for developed equity markets. The volatility effect appears to be growing …. Finally, we find that the volatility effect in emerging markets is only weakly related to that in developed equity markets …

, but consistent with the results of studies for developed equity markets. The volatility effect appears to be growing …. Finally, we find that the volatility effect in emerging markets is only weakly related to that in developed equity markets …

very dynamic. Finally, the study shows that the autocorrelation of returns on the main market indexes of the emerging …

This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets … show that the U.S. term structure indeed contains predictive information over emerging stock market volatility, even after … volatility compared to the maturity premium component of the yield spread. We also find that the U.S. term structure has gained …

market (EM) countries by testing volatility spillovers of asset returns using a BEKK GARCH (1,1) model. The author modifies … the classical BEKK GARCH model in order to study the dynamics and origins of volatility spillovers. The study's empirical … results are threefold. First, volatility spillovers between the foreign exchange and stock markets are significant in most EM …

In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions … models with global factors explain the variation in average stock returns and, in particular, we assess their ability to …

In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share market. Intraday reversals …