We investigate the relation between volatility and volume in 22 developed markets and 27 emerging markets. Compared to developed markets, emerging markets show a greater response to large information shocks and exhibit greater sensitivity to unexpected volume. We find a negative relation between...

Although banks are central to the economic development and growth of emerging markets (Benston, 2004), most studies have not investigated the determinants of stock returns of this sector in these countries. This study, contributes to the literature in finance by investigating and identifying...

This paper identifies the risks associated with investing in the Turkish stock market. We find that Turkish firms are more volatile than firms in countries that have recently joined the EU (our control group) and that the excess volatility is significantly associated with higher financial and...

This paper develops an empirical cost of carry model with exogenously conditioned convenience yield. The approach is implemented using monthly prices of all futures contracts traded at the New York Mercantile Exchange between 1985 and 2006. Tests indicate that the model fits the data extremely...

We analyze a stochastic general equilibrium model which incorporates three different types of government expenditure. We calibrate the model and simulate it under the hypotheses of divisible and indivisible labor supply. Our results indicate that the addition of government expenditure shocks to...

Purpose – The purpose of this paper is to examine the change in speed of dissemination of order flow information on stock volatility of return in 79 traded companies at the Cairo and Alexandria Stock Exchange (CASE). Design/methodology/approach – The paper examines the interaction of...