This study examines the effect of Fed funds rate target changes on Asian stock markets Japan, Hong Kong, Thailand, South Korea, Malaysia, and Singapore. The response of these markets to the Fed target rate changes vary in degree. Four out of six of the markets exhibit higher returns following target rate decreases. However, target rate increases do not cause all markets to react negatively. Onl...

In this paper we investigate the presence of the following asset pricing anomalies viz. size, value, momentum, liquidity, accruals, profitability and net stock issues in India. Size effect is the strongest with a difference of 4.4 % per month between small and big stock returns. A positive relationship is reported between accruals, stock issues and returns and a negative relation between profit...

investing in stock markets usually is involved in more risks than the bounds and bank deposits. it is expected that resulting returns (capital gain plus yields) from trading in a stock market to be more than those of in a risk free investment. therefore, developing accurate techniques of estimation and forecasting in volatility analysis of financial markets is inevitable. sum squares of weekly ...

This paper studies the dynamic relationship between returns in the Russian stock market and global equity markets in the aftermath of the 2014 Ukrainian crisis. We apply dynamic the Russian and global equity returns after the crisis outbreak. The Russian stock market clearly decoupled from both de veloped and emerging markets, as shown by a 30–50% decline in returns correlation. In view of dram...

A number of studies have investigated the predictability of Chinese stock returns with economic variables. Given the newly emerged dataset from the Internet, this paper investigates whether the Baidu Index can be employed to predict Chinese stock returns. The empirical results show that 1) the Search Frequency of Baidu Index (SFBI) can predict next day’s price changes; 2) the stock prices go up...

The respective study covers three aspects; factors determining credit rating, credit rating impact on performance of entities and the relation between stock returns and credit rating. The study focuses on the firms listed in Taiwan Stock Exchange (TSE) of Taiwan. The empirical analysis uses the data of 50 firms rated by Taiwan Ratings Corporation (TRC) for the period 2010-2015. Two estimation t...

Modeling nancial returns on longer time intervals under the assumption of station-arity is, at least intuitively, given the pace of change in world's economy, a choice hard to defend. Relinquishing the global stationarity hypothesis, this paper conducts a data analysis focused on the size of the returns, i.e. the absolute values of returns, under the assumptions that, at least locally, the S&P ...

Article history: Received 27 June 2012 Received in revised form 26 June 2013 Accepted 2 July 2013 Available online 10 July 2013 We estimate investable comoment equity risk premiums for the US markets. The stock's contribution to the asymmetry and the fat tails of the market portfolio's payoff are priced into a coskewness premium and a cokurtosis premium. We construct zero-investment strategies ...