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Market Returns (market + return)
Kinds of Market Returns Selected AbstractsPredicting Stock Market Returns with Aggregate Discretionary AccrualsJOURNAL OF ACCOUNTING RESEARCH, Issue 4 2010QIANG KANG ABSTRACT We find that the positive relation between aggregate accruals and one-year-ahead market returns documented in Hirshleifer, Hou, and Teoh [2009] is driven by discretionary accruals but not normal accruals. The return forecasting power of aggregate discretionary accruals is robust to choices of sample periods, return measurements, estimation methods, business condition and risk premium proxies, and accrual models used to isolate discretionary accruals. Our extensive analysis shows that aggregate discretionary accruals, in sharp contrast to aggregate normal accruals, contain little information about overall business conditions or aggregate cash flows and display little co-movement with ICAPM-motivated risk premium proxies. Our findings imply that aggregate discretionary accruals likely reflect aggregate fluctuations in earnings management, thereby favoring the behavioral explanation that managers time aggregate equity markets to report earnings. [source] Non-linear Predictability of UK Stock Market Returns,OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 5 2003David G. McMillan Abstract Linear predictability of stock market returns has been widely reported. However, recently developed theoretical research has suggested that due to the interaction of noise and arbitrage traders, stock returns are inherently non-linear, whereby market dynamics differ between small and large returns. This paper examines whether an exponential smooth transition threshold model, which is capable of capturing this non-linear behaviour, can provide a better characterization of UK stock market returns than either a linear model or an alternate non-linear model. The results of both in-sample and out-of-sample specification tests support the exponential smooth transition threshold model and hence the belief that investor behaviour does differ between large and small returns. [source] The intertemporal relationship between market return and variance: an Australian perspectiveACCOUNTING & FINANCE, Issue 3 2001Warren G. Dean In this paper we investigate the intertemporal relationship between the market risk premium and its conditional variance in an Australian setting. Using a bivariate EGARCH-M model combined with the dynamic conditional correlation (DCC) framework as proposed by Engle (2000), we find evidence of a positive relationship between the market risk premium and its variance and evidence of two distinct interest rate effects. Furthermore, while the bond market's own variance is not priced by investors, we find that the covariance between equity and bond markets is a significant risk factor that is priced in the market. [source] Errors in Variables, Links between Variables and Recovery of Volatility Information in Appraisal-Based Real Estate Return IndexesREAL ESTATE ECONOMICS, Issue 4 2006Peijie Wang The present article proposes a multivariate approach to unsmoothing appraisal-based real estate return indexes to recover the true market volatility information in real estate returns. It scrutinizes the role played by errors in variables, in conjunction with an analysis of other economic activities relevant to real estate returns, to exploit the functional relationship and the mechanism of interactions between real estate returns and these economic activities. Appraisal smoothing can therefore be detected and corrected properly and efficiently, without presuming a weakly efficient real estate market. The approach is then applied to U.K. real estate indexes as empirical examples. The results suggest a reasonable volatility in U.K. real estate investment that is close to reality. It is found that the volatility of the true market return on real estate is 1.5404,1.9282 times that of the return on the appraisal-based indexes, in contrast to figures of 2.4862,5.8720 produced by the fully unsmoothing procedure. [source] Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market RiskTHE JOURNAL OF FINANCE, Issue 6 2008TOBIAS ADRIAN ABSTRACT We explore the cross-sectional pricing of volatility risk by decomposing equity market volatility into short- and long-run components. Our finding that prices of risk are negative and significant for both volatility components implies that investors pay for insurance against increases in volatility, even if those increases have little persistence. The short-run component captures market skewness risk, which we interpret as a measure of the tightness of financial constraints. The long-run component relates to business cycle risk. Furthermore, a three-factor pricing model with the market return and the two volatility components compares favorably to benchmark models. [source] Risks for the Long Run: A Potential Resolution of Asset Pricing PuzzlesTHE JOURNAL OF FINANCE, Issue 4 2004Ravi Bansal ABSTRACT We model consumption and dividend growth rates as containing (1) a small long-run predictable component, and (2) fluctuating economic uncertainty (consumption volatility). These dynamics, for which we provide empirical support, in conjunction with Epstein and Zin's (1989) preferences, can explain key asset markets phenomena. In our economy, financial markets dislike economic uncertainty and better long-run growth prospects raise equity prices. The model can justify the equity premium, the risk-free rate, and the volatility of the market return, risk-free rate, and the price,dividend ratio. As in the data, dividend yields predict returns and the volatility of returns is time-varying. [source] Robust estimation of the optimal hedge ratioTHE JOURNAL OF FUTURES MARKETS, Issue 8 2003Richard D. F. Harris When using derivative instruments such as futures to hedge a portfolio of risky assets, the primary objective is to estimate the optimal hedge ratio (OHR). When agents have mean-variance utility and the futures price follows a martingale, the OHR is equivalent to the minimum variance hedge ratio,which can be estimated by regressing the spot market return on the futures market return using ordinary least squares. To accommodate time-varying volatility in asset returns, estimators based on rolling windows, GARCH, or EWMA models are commonly employed. However, all of these approaches are based on the sample variance and covariance estimators of returns, which, while consistent irrespective of the underlying distribution of the data, are not in general efficient. In particular, when the distribution of the data is leptokurtic, as is commonly found for short horizon asset returns, these estimators will attach too much weight to extreme observations. This article proposes an alternative to the standard approach to the estimation of the OHR that is robust to the leptokurtosis of returns. We use the robust OHR to construct a dynamic hedging strategy for daily returns on the FTSE100 index using index futures. We estimate the robust OHR using both the rolling window approach and the EWMA approach, and compare our results to those based on the standard rolling window and EWMA estimators. It is shown that the robust OHR yields a hedged portfolio variance that is marginally lower than that based on the standard estimator. Moreover, the variance of the robust OHR is as much as 70% lower than the variance of the standard OHR, substantially reducing the transaction costs that are associated with dynamic hedging strategies. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:799,816, 2003 [source] The Determinants and Implications of Mutual Fund Cash Holdings: Theory and EvidenceFINANCIAL MANAGEMENT, Issue 2 2006Xuemin (Sterling) Yan In this article, I examine the determinants and implications of equity mutual fund cash holdings. In cross-sectional tests, I find evidence generally supportive of a static trade-off model developed in the article. In particular, small-cap funds and funds with more-volatile fund flows hold more cash. However, I do not find that fund managers with better stock-picking skills hold less cash. Aggregate cash holdings by equity mutual funds are persistent and positively related to lagged aggregate fund flows. Aggregate cash holdings do not forecast future market returns, suggesting that equity funds as a whole do not have market timing skills. [source] The equity premium and the business cycle: the role of demand and supply shocksINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 2 2010Peter N. Smith Abstract This paper explores the effects of the US business cycle on US stock market returns through an analysis of the equity risk premium. We propose a new methodology based on the SDF approach to asset pricing that allows us to uncover the different effects of aggregate demand and supply shocks. We find that negative shocks are more important that positive shocks, and that supply shocks have a much greater impact than demand shocks. Copyright © 2009 John Wiley & Sons, Ltd. [source] Market Price of Risk: A Comparison among the United States, United Kingdom, Australia and Japan,INTERNATIONAL REVIEW OF FINANCE, Issue 4 2009KENT WANG ABSTRACT This study examines and compares the market price of risk of the S&P 500, FTSE 100, All Ordinaries, and Nikkei 225 markets from 1984 to 2009 in the framework of Intertemporal Capital Asset Pricing Model (ICAPM). We follow the Vector Autoregressive instrumental variable approach in identifying the risk and hedge components of market returns and argue that in the context of market integration, covariance with a world market portfolio is a better measure of market risk than conditional market variance. Evidence is documented in support of using covariance as a risk measure in explaining market risk premiums in the Australian and Japanese markets. CAY, the consumption wealth ratio from the US market is found to be a robust state variable that helps to explain both conditional variance and covariance processes in the four markets. The market prices of risk, after controlling for the hedging demands, are positive and significant with the United States having the highest price of risk. The results are confirmed using a series of robustness tests that include varying the sampling interval. [source] The Short, and Long,run Performance of New Listings in TunisiaINTERNATIONAL REVIEW OF FINANCE, Issue 4 2001Samy Ben Naceur This study examines abnormal stock market returns of new listings on the Tunisian Stock Exchange. Substantial positive abnormal returns are found on the first listing day and this finding is similar to that obtained in other countries. Subsequent performance is poor and investors who bought shares at the close of trading on the first day would have lost about 22% against the Tunis Stock Exchange index over a three,year period. The possible causes of this are investigated. Among the factors found in the literature that possibly affect the level of long,term performance, only the state of the IPO market, the initial return, the delay in reaching the ,first market price' and the size of the firms have significant coefficients. This result is supportive of the traditional fad's interpretation of long,term underperformance. [source] Predicting Stock Market Returns with Aggregate Discretionary AccrualsJOURNAL OF ACCOUNTING RESEARCH, Issue 4 2010QIANG KANG ABSTRACT We find that the positive relation between aggregate accruals and one-year-ahead market returns documented in Hirshleifer, Hou, and Teoh [2009] is driven by discretionary accruals but not normal accruals. The return forecasting power of aggregate discretionary accruals is robust to choices of sample periods, return measurements, estimation methods, business condition and risk premium proxies, and accrual models used to isolate discretionary accruals. Our extensive analysis shows that aggregate discretionary accruals, in sharp contrast to aggregate normal accruals, contain little information about overall business conditions or aggregate cash flows and display little co-movement with ICAPM-motivated risk premium proxies. Our findings imply that aggregate discretionary accruals likely reflect aggregate fluctuations in earnings management, thereby favoring the behavioral explanation that managers time aggregate equity markets to report earnings. [source] Market Reactions to Warnings of Negative Earnings Surprises: Further EvidenceJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 7-8 2008Weihong Xu Abstract:, This study examines two plausible explanations for Kasznik and Lev's (1995) counterintuitive finding that warning firms are subject to more negative market returns than no-warning firms. Namely, are the more negative market reactions to warning firms due to their poorer future earnings performance or due to investor overreaction? I find that, compared with no-warning firms, warning firms experience more severe one-year-ahead earnings declines and these earnings declines can explain the stronger market returns to warning firms. However, my results do not support an investor overreaction explanation. The tests of subsequent abnormal returns of warning firms over various windows do not detect stock return reversals due to correction for overreaction. In addition, the greater revisions in analysts' forecasts for warning firms are found to enhance analyst accuracy rather than increase analyst pessimism. Collectively, my results suggest that the more negative market reactions to warning firms reflect investors' rational anticipation of more severe declines in future earnings for warning firms rather than investor overreaction. [source] Seasonality in Fund Performance: An Examination of the Portfolio Holdings and Trades of Investment ManagersJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 7-8 2006David R. Gallagher Abstract:, This study examines the extent to which seasonal variation arises across calendar months in the performance of active Australian equity managers. While it is well documented that there is seasonality in equity market returns, it is unknown whether calendar month variation in managed fund performance exists. Employing a unique database of monthly stock holdings, we find evidence consistent with systematic variation in the risk-adjusted performance of active investment managers over the calendar year. Specifically, we find fund performance is higher in the months when corporate earnings are announced. We also document that the performance of fund managers is lower in the months preceding the tax year-end. Finally, we report evidence that investment manager performance is greater than normal in December, possibly due to both window dressing and the Christmas holiday effect. These findings have important implications for investors attempting to exploit anomalies in fund returns by timing their entry and exit points from active equity funds. [source] KLSE Long Run Overreaction and the Chinese New-Year EffectJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 1-2 2001Zamri Ahmad This study investigates long run overreaction and seasonal effects for Malaysian stocks quoted on the Kuala Lumpur Stock Exchange (KLSE), for the period 1986,1996. Stocks exhibiting extreme returns relative to the market over a three year period experience a reversal of fortunes during the following three years. There is also evidence that employing a contrarian trading strategy may yield excess returns. Of particular interest is the apparent existence of a Chinese New Year effect in both the level of market returns, and the overreaction profile for KLSE stocks. These seasonalities mirror the January-effect observed in US markets. [source] Robustness of alternative non-linearity tests for SETAR modelsJOURNAL OF FORECASTING, Issue 3 2004Wai-Sum Chan Abstract In recent years there has been a growing interest in exploiting potential forecast gains from the non-linear structure of self-exciting threshold autoregressive (SETAR) models. Statistical tests have been proposed in the literature to help analysts check for the presence of SETAR-type non-linearities in an observed time series. It is important to study the power and robustness properties of these tests since erroneous test results might lead to misspecified prediction problems. In this paper we investigate the robustness properties of several commonly used non-linearity tests. Both the robustness with respect to outlying observations and the robustness with respect to model specification are considered. The power comparison of these testing procedures is carried out using Monte Carlo simulation. The results indicate that all of the existing tests are not robust to outliers and model misspecification. Finally, an empirical application applies the statistical tests to stock market returns of the four little dragons (Hong Kong, South Korea, Singapore and Taiwan) in East Asia. The non-linearity tests fail to provide consistent conclusions most of the time. The results in this article stress the need for a more robust test for SETAR-type non-linearity in time series analysis and forecasting. Copyright © 2004 John Wiley & Sons, Ltd. [source] Relationships between Australian real estate and stock market prices,a case of market inefficiencyJOURNAL OF FORECASTING, Issue 3 2002John Okunev Abstract This paper explores the relationship between the Australian real estate and equity market between 1980 and 1999. The results from this study show three specific outcomes that extend the current literature on real estate finance. First, it is shown that structural shifts in stock and property markets can lead to the emergence of an unstable linear relationship between these markets. That is, full-sample results support bi-directional Granger causality between equity and real estate returns, whereas when sub-samples are chosen that account for structural shifts the results generally show that changes within stock market prices influence real estate market returns, but not vice versa. Second, the results also indicate that non-linear causality tests show a strong unidirectional relationship running from the stock market to the real estate market. Finally, from this empirical evidence a trading strategy is developed which offers superior performance when compared to adopting a passive strategy for investing in Australian securitized property. These results appear to have important implications for managing property assets in the funds management industry and also for the pricing efficiency within the Australian property market. Copyright © 2002 John Wiley & Sons, Ltd. [source] A speculative bubble in commodity futures prices?AGRICULTURAL ECONOMICS, Issue 1 2010Cross-sectional evidence Commitment's of traders; Index funds; Commodity futures markets Abstract Recent accusations against speculators in general and long-only commodity index funds in particular include: increasing market volatility, distorting historical price relationships, and fueling a rapid increase and decrease in the level of commodity prices. Some researchers have argued that these market participants,through their impact on market prices,may have inadvertently prevented the efficient distribution of food aid to deserving groups. Certainly, this result,if substantiated,would counter the classical argument that speculators make prices more efficient and thus improve the economic efficiency of the food marketing system. Given the very important policy implications, it is crucial to develop a more thorough understanding of long-only index funds and their potential market impact. Here, we review the criticisms (and rebuttals) levied against (and for) commodity index funds in recent U.S. Congressional testimonies. Then, additional empirical evidence is added regarding cross-sectional market returns and the relative levels of long-only index fund participation in 12 commodity futures markets. The empirical results provide scant evidence that long-only index funds impact returns across commodity futures markets. [source] An Investigation Into the Diversification,Performance Relationship in the U.S. Property,Liability Insurance IndustryJOURNAL OF RISK AND INSURANCE, Issue 3 2008B. Elango This article investigates the relationship between product diversification and firm performance in the U.S. property,liability insurance industry using data over the 1994 through 2002 time period. Using various measures of product diversification and firm performance, we find that the extent of product diversification shares a complex and nonlinear relationship with firm performance. Our findings suggest that performance benefits associated with product diversification are contingent upon an insurer's degree of geographic diversification. Robustness tests using subsamples and market returns for public firms show consistent results. [source] Evidence on competitive advantage and superior stock market performanceMANAGERIAL AND DECISION ECONOMICS, Issue 4 2010Øystein Gjerde This article analyzes the value-relevance of industry-based and resource-based competitive advantage in a large sample of firms listed on the Oslo Stock Exchange. We measure competitive advantage by a single variable and perform a new decomposition into its underlying sources. In 1986,2005, the industry-based and the resource-based competitive advantage explain more than 20% of abnormal stock market returns, accumulated over 5 years. The resource-based advantage is almost 4 times more important than the industry-based advantage. Differences in both the return and the risk capability of firms' net assets relative to their industry peers are significant parts of the resource-based advantage, estimated at 60 and 40%, respectively. Copyright © 2009 John Wiley & Sons, Ltd. [source] Non-linear Predictability of UK Stock Market Returns,OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 5 2003David G. McMillan Abstract Linear predictability of stock market returns has been widely reported. However, recently developed theoretical research has suggested that due to the interaction of noise and arbitrage traders, stock returns are inherently non-linear, whereby market dynamics differ between small and large returns. This paper examines whether an exponential smooth transition threshold model, which is capable of capturing this non-linear behaviour, can provide a better characterization of UK stock market returns than either a linear model or an alternate non-linear model. The results of both in-sample and out-of-sample specification tests support the exponential smooth transition threshold model and hence the belief that investor behaviour does differ between large and small returns. [source] DETERMINANTS OF FOREIGN INSTITUTIONAL INVESTMENT IN INDIA: THE ROLE OF RETURN, RISK, AND INFLATIONTHE DEVELOPING ECONOMIES, Issue 4 2004Kulwant RAI The present study examines the determinants of foreign institutional investments (FII) in India, which by January 2003 almost exceeded U.S. $12 billion. Given the huge volume of these flows and their impact on the other domestic financial markets, understanding the behavior of the flows becomes very important, especially at a time of liberalizing the capital account. By using monthly data, we found that FII inflow depends on stock market returns, inflation rates (both domestic and foreign), and ex-ante risk. In terms of magnitude, the impact of stock market returns and the ex-ante risk turned out to be the major determinants of FII inflow. Unlike some of the other investigations of this topic, our study has not found any causative link running from FII inflow to stock returns. Stabilizing stock market volatility and minimizing the ex-ante risk would help to attract more FII, an inflow of which has a positive impact on the real economy. [source] The Relationship Between Economic Factors and Equity Markets in Central EuropeTHE ECONOMICS OF TRANSITION, Issue 3 2000Jan Hanousek This paper investigates the possibility that newly-emerging equity markets in Central Europe exhibit semi-strong form efficiency such that no relationship exists between lagged values of changes in economic variables and changes in equity prices. We find that while there are connections between the real economy and equity market returns in Poland and Hungary, these links occur with lags, suggesting the possibility of profitable trading strategies based on public information and rejecting semi-strong efficiency. For the Czech Republic the situation is more complex. In recent periods, little connection exists between lagged economic variables and equity market returns. Although this finding might be viewed as consistent with semi-strong efficiency, in fact there is also little connection between current economic values and stock prices in the Czech Republic. Thus, instead of processing information efficiently, the Czech market appears to be entirely divorced from the real world. It is suggested that the difference in the current status of these markets may be due to the different methods by which they were created. [source] Foreign Speculators and Emerging Equity MarketsTHE JOURNAL OF FINANCE, Issue 2 2000Geert Bekaert We propose a cross-sectional time-series model to assess the impact of market liberalizations in emerging equity markets on the cost of capital, volatility, beta, and correlation with world market returns. Liberalizations are defined by regulatory changes, the introduction of depositary receipts and country funds, and structural breaks in equity capital flows to the emerging markets. We control for other economic events that might confound the impact of foreign speculators on local equity markets. Across a range of specifications, the cost of capital always decreases after a capital market liberalization with the effect varying between 5 and 75 basis points. [source] STOCK MARKET REACTION TO GOOD AND BAD INFLATION NEWSTHE JOURNAL OF FINANCIAL RESEARCH, Issue 2 2008Johan Knif Abstract This article shows that differentiating between good and bad inflation news is important to understanding how inflation affects stock market returns. Summing positive and negative inflation shocks as in previous studies tends to wash out or mute the effects of inflation news on stock returns. More specifically, we find that, depending on the economic state, positive and negative inflation shocks can produce a variety of stock market reactions. We conclude that the effect of inflation on stock returns is conditional on whether investors perceive inflation shocks as good or bad news in different economic states. [source] SENSITIVITY OF INVESTOR REACTION TO MARKET DIRECTION AND VOLATILITY: DIVIDEND CHANGE ANNOUNCEMENTSTHE JOURNAL OF FINANCIAL RESEARCH, Issue 1 2005Diane Scott Docking Abstract We examine whether investor reactions are sensitive to the recent direction or volatility of underlying market movements. We find that dividend change announcements elicit a greater change in stock price when the nature of the news (good or bad) goes against the grain of the recent market direction during volatile times. For example, announcements to lower dividends elicit a significantly greater decrease in stock price when market returns have been up and more volatile. Similarly, announcements to raise dividends tends to elicit a greater increase in stock price when market returns have been normal or down and more volatile, although this latter tendency lacks statistical significance. We suggest an explanation for these results that combines the implications of a dynamic rational expectations equilibrium model with behavioral considerations that link the responsiveness of investors to market direction and volatility. [source] Modelling financial time series with threshold nonlinearity in returns and trading volumeAPPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 4 2007Mike K. P. So Abstract This paper investigates the effect of past returns and trading volumes on the temporal behaviour of international market returns. We propose a class of nonlinear threshold time-series models with generalized autoregressive conditional heteroscedastic disturbances. Using Bayesian approach, an implementation of Markov chain Monte Carlo procedure is used to obtain estimates of unknown parameters. The proposed family of models incorporates changes in log of volumes in the sense of regime changes and asymmetric effects on the volatility functions. The results show that when differences of log volumes are involved in the system of log return and volatility models, an optimum selection can be achieved. In all the five markets considered, both mean and variance equations involve volumes in the best models selected. Our best models produce higher posterior-odds ratios than that in Gerlach et al.'s (Phys. A Statist. Mech. Appl. 2006; 360:422,444) models, indicating that our return,volume partition of regimes can offer extra gain in explaining return-volatility term structure. Copyright © 2007 John Wiley & Sons, Ltd. [source] Interaction between Foreign and Domestic Investors in the Korean Stock and Futures Markets,ASIAN ECONOMIC JOURNAL, Issue 2 2009Young-Rae Song G1; F3 The present paper analyzes the behavioral relations of major investor groups in the stabilized Korean stock and futures markets after the 1997 Asian financial crisis. Investor groups cannot be classified as positive or negative feedback traders on market returns when both stock and futures markets are considered, which is inconsistent with the results in Ghysels and Seon (2005). Foreign investors and domestic institutions tend to take opposite positions in both markets. The impact of foreign investors on the basis change is significantly negative in the futures market, whereas domestic institutions have a negative relation in the stock market. This supports the view that selling activity of foreign investors in the futures market pulls the futures price down compared with the index value and, consequently, induces the reverse cash-and-carry trade of domestic institutions. This relationship, which negatively influenced the Korean economy during the crisis, as shown in Ghysels and Seon (2005), still exists in the Korean financial markets. [source] Stock Market Linkages in South,East AsiaASIAN ECONOMIC JOURNAL, Issue 4 2002Thiam Hee Ng The present paper examines the linkages between the South,East Asian stock markets following the opening of the stock markets in the 1990s. No evidence was found to indicate a long,run relationship among the South,East Asian stock markets over the period 1988,1997; however, correlation analyses indicate that the South,East Asian stock markets are becoming more integrated. The results from the time,varying parameter model also show that the stock market returns of Indonesia, the Philippines and Thailand had all become more closely linked with that of Singapore. [source] FINANCIAL CRISES AND INTERNATIONAL STOCK MARKET VOLATILITY TRANSMISSIONAUSTRALIAN ECONOMIC PAPERS, Issue 3 2010INDIKA KARUNANAYAKE This paper examines the interplay between stock market returns and their volatility, focusing on the Asian and global financial crises of 1997,98 and 2008,09 for Australia, Singapore, the UK, and the US. We use a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model and weekly data (January 1992,June 2009). Based on the results obtained from the mean return equations, we could not find any significant impact on returns arising from the Asian crisis and more recent global financial crises across these four markets. However, both crises significantly increased the stock return volatilities across all of the four markets. Not surprisingly, it is also found that the US stock market is the most crucial market impacting on the volatilities of smaller economies such as Australia. Our results provide evidence of own and cross ARCH and GARCH effects among all four markets, suggesting the existence of significant volatility and cross volatility spillovers across all four markets. A high degree of time-varying co-volatility among these markets indicates that investors will be highly unlikely to benefit from diversifying their financial portfolio by acquiring stocks within these four countries only. [source] | |||||||||||||||||||||||||||||||