Superexogeneity and the dynamic linkages among international equity markets

Article Abstract:

The assumption that a system of equity markets is characterized by superexogeneity was invalidated after taking into account stock indices of the US, UK, Germany and Japan. Utilization of Johansen procedure for cointegration testing as well as weak exogeneity and invariance tests showed that for a system composed of stock indices of the US, UK, Germany and Japan, superexogeneity is rejected. Rejection of superexogeneity also suggested the existence of forward looking financial market participants in such countries.

Analysis, Securities, Economic research, Capital market, Capital markets

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Stock returns and volatility in emerging financial markets

Article Abstract:

Time-varying volatility, which demonstrates clustering and predictability, is evident in emerging financial markets. The degree of volatility in more mature markets is found to be lower than in emerging markets. The level of volatility is also found to decrease with liberalization at times, which is inconsistent with the debate that liberalization would result to an increase in market volatility. A risk-reward relation is apparent in Latin America but is not widely seen in Asia.

Stocks, Financial markets

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Structural change and asset pricing in emerging markets

Article Abstract:

The use of asset pricing factors models in a number of countries may be rejected as determined by structural change tests, particularly if international factors were taken into account. However, increased support and stability is observed when the local capital asset pricing model is evaluated that has size-ranked portfolios. Moreover, in several nations, a small size effect is also observed.

International aspects, Pricing, Assets (Accounting), Capital assets pricing model, Capital asset pricing model

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