This paper provides a quantitative assessment of the relative importance of global structural shocks for changes in financial conditions across a sample of emerging market economies. We disentangle four key drivers of global financial markets (oil supply shocks, global economic news shocks,...

The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...

Proposal for this study is meant to analyze a capital market phenomenon in the Indonesian Stock Exchange who shows various results. Husnan and Pudjiastuti (1994), and Roida (2004) claim that Indonesia Capital Market tend to be segmented. They both claim that due to weak correlation between stock...

We examine global integration in the market for asset management, as indicated by the correlation of mutual fund flows across domiciles. We observe no leading role for the US relative to flows in other domiciles. We do observe a strong global factor in MF flows, and global integration is linked...

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation,...

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation,...

We assess cross-sectional differences in 23 bilateral, conditional currency excess returns in an empirical model that distinguishes between US-specific and global risks, conditional on US bull (upside) or bear (downside) markets. Our results suggest that global downside risk is not only...

We test the existence of a time-series relationship between the aggregate idiosyncratic volatility and the market index return at the global level by introducing various global measures of aggregate idiosyncratic volatility. We offer four definitions of aggregate global idiosyncratic volatility...