This paper employs a capital asset pricing model that incorporates both world and trading-bloc factors to show that the recent trend of trade regionalism has led to segmentation of world stock markets. The model is developed within a multivariate GARCH framework. The conditional time-varying...

A five-factor asset-pricing model is employed to estimate the systematic financial risk exposure of airlines in North America, Europe and Asia between 1990 and 2010. Our panel data reveal that the risk to North America airlines is positively related to operating leverage and profitability, but...

Does exchange rate volatility affect world and bilateral trade flows of SAARC countries? Based on conditional exchange rate volatility generated from an asymmetric exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model, the results of the export demand function...

This study measures the speed with which the aggregate stock market in 49 countries responds to global market-wide public information. Our empirical results show that there are wide variations in the aggregate price delay values over time and across countries. Subsequent panel analysis confirms...

Over the last decade, China and Malaysia have committed to export-led growth policy based on maintenance of their undervalued currencies. While both nations have recorded current account surplus and devoted for regional trade integration, it was lately claimed that the Chinese foreign exchange...

This paper examines the role of common, country, and industry effects on international diversification potential in ASEAN (Association of Southeast Asian Nations) stock markets. Following a decomposition approach, we extract these effects from stock returns and further examine the determinants...

Behavioral models suggest that momentum and contrarian effects are linked. We examine the two effects in the Chinese stock market over an 18-year period. The findings reveal that there is no momentum effect in China. Nevertheless, contrarian portfolio yields significant returns. In other words,...

Many Day-of-the week anomaly papers have suggested investor behaviour as the explanation of highly differentiated returns on Mondays; yet, rarely found a paper has empirically investigated it. Therefore, this paper proposes Moon-Induced mood as the determinant of that irrational behaviour. This...

We construct a structural system that jointly examines Purchasing Power and Interest Parity conditions for Malaysia--China during 1996Q1--2010Q4. Structural VARX, VECMX, over-identifying restrictions, bootstrapping and persistent profiles are utilized in the analyses. We find support for...