In the past Brian M. Lucey has collaborated on articles with Michael Dowling and Jonathan A. Batten. One of their most recent publications is Chapter 14 - Cultural Behavioral Finance in Emerging Markets. Which was published in journal .

More information about Brian M. Lucey research including statistics on their citations can be found on their Copernicus Academic profile page.

Brian M. Lucey's Articles: (10)

Chapter 14 - Cultural Behavioral Finance in Emerging Markets

AbstractEmerging market asset pricing research has historically applied a behavioral understanding of investor decision making based largely on US investor psychology research and therefore inherently focuses on what we understand about how US investors make investment decisions. This is likely to be both a psychologically and a culturally inappropriate perspective on emerging market investment decision making. In this chapter, we comprehensively review the recent literature on behavioral and cultural perspectives of emerging market asset pricing. We further suggest, building from this comprehensive review of relevant theories and empirical research, an approach to the application of investor psychology in emerging markets where certain investor behavioral theories are assumed to predictably vary across cultures, certain theories apply more to some cultural groups, and some behavioral principles are best viewed as innate and static across cultures.

Psychological barriers in oil futures markets

Highlights•Investigate presence of psychological barriers in oil futures prices about $10 levels•Brent shows effects over WTI; differences in global benchmark roles and complexity•Evidence Brent prices fall in general after a $10 barrier breach from rising prices•Results shown to be robust within a generalised multiple hypothesis testing framework

The dynamic linkages between crude oil and natural gas markets

Highlights•Contrary to earlier research we find natural gas may lead crude oil prices over a long sample.•This finding holds in forecasting out of sample.•There may be a break in the relationship between oil and gas in 2006.•We suggest that new technologies and financial conditions have led to a decoupling of these markets.•Oil and natural gas prices may now be determined independently.

Gold and silver manipulation: What can be empirically verified?

Highlights•Gold and silver price manipulation and price suppression is examined.•A mixture of normal approach decomposes returns into abnormal and control samples.•The proportion of negative runs in the abnormal cluster is greater than in the control cluster.•The average return for negative (positive) runs is lower (higher) in the abnormal cluster than in the control cluster.•The high volatility associated with the abnormal cluster is the driver of the results and not manipulation.

Equity market integration in the Asia Pacific region: Evidence from discount factors☆

AbstractThe paper investigates stock market integration among 10 economies in the Asia Pacific region over the period April to May 2006 based on a recently developed technique that relies on estimating expected discount rates; see Flood and Rose, 2005a, Flood and Rose, 2005b. The results show a limited but varying degree of stock market integration among the 10 economies. Membership in a formal economic organization does not seem to affect the degree of integration.

Comovements in government bond markets: A minimum spanning tree analysis

AbstractThe concept of a minimum spanning tree (MST) is used to study patterns of comovements for a set of twenty government bond market indices for developed North American, European, and Asian countries. We show how the MST and its related hierarchical tree evolve over time and describe the dynamic development of market linkages. Over the sample period, 1993–2008, linkages between markets have decreased somewhat. However, a subset of European Union (EU) bond markets does show increasing levels of comovements. The evolution of distinct groups within the Eurozone is also examined. The implications of our findings for portfolio diversification benefits are outlined.

International portfolio diversification: Is there a role for the Middle East and North Africa?

AbstractWe examine the issue of possible portfolio diversification benefits into seven Middle East and North African (MENA) stock markets. We construct international portfolios in dollars and local currencies. Ex ante weights are obtained by plugging five optimization models and two risk measures into a rolling block-bootstrap methodology. This allows us to derive 48 monthly rebalanced ex post portfolio returns. We analyze the out-of-sample performance based on Sharpe and Sortino ratios and the Jobson–Korkie statistic. Our results highlight outstanding diversification benefits in the MENA region, both in dollar and local currencies. Overall, we show that these under-estimated, under-investigated markets could attract more portfolio flows in the future.

Rationality in precious metals forward markets: Evidence of behavioural deviations in the gold markets

Highlights•We examine the forward–spot relationship in gold.•We decompose the error into behavioural series, pessimism and optimism indicators.•We correlate the behavioural factors with economic events and show over- and under-reaction to news.•We provide evidence of gold behaviour in a behavioural sense.

Robust global stock market interdependencies

AbstractIn this paper, we examine the scope for in ternational stock portfolio diversification, from the viewpoint of a United States representative investor, in regard to both the Asian and the European stock markets. Our findings indicate that despite correlation style evidence to the contrary, the European stock markets provide a superior long-term diversification opportunity relative to that provided by the Asian stock markets. Hence, a short-term measurement of interdependence appears to be uninformative with respect to the diversification opportunities of investors with longer term investment horizons. In terms of methodology, we adopt common stochastic trend tests, including a common stochastic trend test which accounts for generalised autoregressive conditional heteroskedasticity effects in conjunction with the recursive estimation of these tests to estimate the development of long-term stock market interdependence linkages. Recursively estimated robust correlations between the international stock markets are utilised to reveal the nature of short-term stock market interdependence linkages.

Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates

AbstractIn this paper we investigate the return relations between major asset classes using data from both the US and the UK. Our first objective is to examine time variation in conditional correlations to determine when these variables act as a hedge against each other. Secondly, we provide evidence on whether the dependencies between the asset classes differ during extreme price movements by using quantile regressions. This analysis provides evidence on whether these asset classes can be considered as safe havens for each other. A noteworthy finding of our study is that gold can be regarded as a safe haven against exchange rates in both countries, highlighting its monetary asset role.

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