In the paper we study the relationship between macroeconomic and stock market volatility, using Samp;P500 data for the period 1970-2001. We find evidence of a twofold linkage between stock market and macroeconomic volatility. Firstly, the break process in the volatility of stock returns is...

We study the time series properties of the Fama-French factor returns volatility processes. Among the original findings of this paper, we point to structural breaks in the volatility of the factors, and strong coincidence between the timing of the breaks in the volatility of the market portfolio...

Have convergence of European economies and introduction of the euro produced some effects on European stock markets? Theory suggests that stabilization of fundamentals should decrease variance of stock returns for historically unstable stock markets. We test this proposition with daily data for...

Using a sample of 1,154 European firms from 11 countries, we show that firm-level exchange exposure for Eurozone and non-Eurozone European firms has increased since the introduction of the euro, but this rise was smaller for Eurozone than non-Eurozone firms. This increase in firm-specific...

We investigate the hypothesis that zero lower bound monetary policy has an effect on the correlations of financial assets. Using an event-study approach, we evaluate the impact of the zero lower bound monetary policies of the Bank of Japan, the Bank of England, and the Federal Reserve on the...

This study celebrates the tenth anniversary of the Pacific-Basin Finance Journal with a retrospective evaluation. We review the mission of the Journal and survey the editorial and review policies of the Journal, including special issues as well as those associated with the annual conference of...

Asia-Pacific stock markets with strong growth deriving from the information and communications technology (ICT) revolution are seeking to become a more integrated stock market. But some currencies and stocks in these markets are excessively volatile. Billions of dollars have been invested in...

In this paper the dynamics underlying the Epps effect (Epps, 1979) are investigated. Using Monte Carlo simulations and the analysis of high frequency foreign exchange rate and stock price data, it is shown that the Epps effect is mainly due to two reasons: the non-synchronicity of price...

This paper presents an asymmetric information model of financial structure. The model has two types of financial institutions: banks (traditional intermediaries) and securities markets, both of which can hold loans made to firms to finance investments. The securities markets raise money at lower...

In this paper, we examine the reaction of stock market returns and volatility in a diverse group of six emerging markets to a set of IMF events. In particular, we test within a panel framework whether there was an quot;investor panicquot; causing a significant drop in stock market returns on the...