In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and emerging markets from February 2001 to...

Using a dataset on ETFs ownership of stocks in nine Emerging Asian markets, we find that stocks with a higher ETF ownership exhibit a greater commonality in liquidity to other stocks in the same market. The effect increases with the level of ETFs arbitrage activities, supporting the hypothesis...

This study examines the drivers of insurance market growth and causality between insurance and economic growth using a dynamic one-step system GMM estimator and panel Granger causality test on the sample of 19 emerging Asian economies over the period 2007-2017. Several macro-economic factors...

This paper examines whether Asian emerging stock markets (India, Korea, Malaysia, Philippines, Taiwan, and Thailand) have become integrated into world capital markets since their official liberalization dates by estimating and testing a dynamic integrated international capital asset pricing...

This paper empirically investigates the contagion effects of the global financial crisis in a multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) dynamic conditional correlation (DCC) framework during the period 1997-2012. We focus on five most important emerging equity...

This research paper investigates the stock market movements and linkages between the Asian emerging markets (China, India, Indonesia, Korea, Malaysia, Philippines, Taiwan and Thailand) and two developed markets (i.e. USA and Japan). This study employs the statistical application of descriptive...