This paper studies the dynamics of expected stock returns and volatility in emerging
financial markets. We find clustering, predictability and persistence in conditional volatility …

The characterisation of equity market return series as random in nature has been
questioned in recent times by the application of new statistical tools. This study uses recent …

This study examines the selectivity and market‐timing ability of international mutual fund
managers. Ninety‐seven international mutual funds with a minimum of five‐year return …

In this paper, stock market volatility in the East European emerging markets of Hungary and
Poland is investigated using daily indexes. The results suggest the presence of non-linearity …

This paper investigates the role of macroeconomic variables on stock prices movement in
Cote d'Ivoire. We utilize the stock price index (SPI) call BRVM10 to represent Cote d'Ivoire …

This article empirically examines the time-varying risk return relationship and the impact of
institutional factors such as circuit breaker on volatility for the emerging equity market of …

The purpose of this study is to examine the relationship between firm size and time-varying
betas of UK stocks. We extend the Schwert and Seguin (1990)(Journal of Finance 45, 1120 …

Investors who only invest in their domestic market are typically referred to as being home-
biased. We refer to firm-level internationalization and call into question whether investing in …

This paper investigates the main features of stock market volatility in the emerging markets
of European transition economies using daily indexes. Starting with the universe of all stock …

This study utilises tests based on ranks and signs suggested by Wright (2000) in addition to
the traditional variance ratio test to examine the behaviour of some UK Financial Times …