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Conference
Aug 2026
Market Microstructure Dynamics in ASEAN-4 Capital Markets (2010 -2025): Liquidity Architecture, Price Discovery Mechanisms, and Regulatory Moderation under Systemic Shocks
This study develops an integrated and longitudinal investigation of market microstructure dynamics across four principal ASEAN equity markets—Indonesia, Singapore, Thailand, and Malaysia—over the 2010–2025 period. The analysis concentrates on the structural interaction between liquidity provision, price discovery effic...
Edwin Julianus Sebayang, Dwi Handoko, Bondan Haryono et al.
· Global Conference on Busines... · 0 citations
Open access
Sep 2026
Sovereign Credit Risk, ESG Performance, and Idiosyncratic Volatility in a Turkish State-Owned Bank: A Regime-Switching Analysis
Environmental, social, and governance (ESG) considerations and sovereign credit risk have reshaped how bank-level risk is understood in emerging markets. This paper examines the determinants of idiosyncratic volatility (IVOL) in Halkbank, the Turkish state-owned commercial bank with the highest public float. Using quar...
Şeyda Yıldız Ertuğrul, Muhammed Veysel Kaya, C. Senel
· Journal of Risk and Financia... · 0 citations
Open access
Aug 2026
Policy Uncertainty and Asymmetric Volatility in Indonesia's Financial Sector: EGARCH Evidence
Purpose – This study examines the effects of domestic and global economic policy uncertainty on Indonesia's financial sector volatility, given its dominant market position and sensitivity to regulatory and capital flow shocks. Design/methodology/approach – Monthly IDX Financial Index (JKFINA/IDXFINANCE) returns from Ja...
Mohammad Syifaul Qulub, R. Setiawati
· Journal of Economics, Entrep... · 0 citations
Open access
2026
Macroeconomic risk, asymmetric volatility and long-memory dynamics in Indian equity markets: Implications for financial project and risk management
This study tries to assess whether aggregated domestic and global macro-financial conditions can assist to explicate daily equity-market returns and volatility in India and considers the implications for financial risk and project-related decision making. Daily BSE and NSE index returns are analysed for January 2000–Ma...
Arshi Firdous, Sarbapriya Ray
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Drivers of systemic risk in emerging markets: portfolio risk and risk amplification in the Thai banking and insurance sectors
This study examines the drivers of systemic risk in the Thai banking and insurance sectors using a panel of listed financial institutions on the Stock Exchange of Thailand from Q1 2014 to Q4 2024. Systemic risk is measured along two dimensions — a firm's contribution to system-wide distress (ΔCoVaR) and its exposure to...
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Open access
Aug 2026
Costs, Growth and Performance Persistence in Hungarian Equity Mutual Funds: A Quantile Panel Analysis
The value-creation capacity of active asset management remains one of the most debated issues within modern portfolio theory. While the relationship between costs and performance is typically negative in developed markets, in smaller and less liquid markets—where information asymmetry is more pronounced—higher fees may...
László Vancsura, Tibor Tatay, Tivadar Zakár et al.
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