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Guglielmo Maria Caporale is Professor of Economics and Finance, Divisional Lead for Economics and Econometrics, and Director of the Centre for Empirical Finance at Brunel University London. He is also a CESifo Research Network Fellow and an Associate Researcher at the International College of Economics and Finance (ICEF), Higher School of Economics (HSE), Moscow. Prior to taking up his current position, he was a Research Officer at the National Institute of Economic and Social Research in London; a Research Fellow and then a Senior Research Fellow at the Centre for Economic Forecasting at London Business School; Professor of Economics at the University of East London; Professor of Economics and Finance and Director of the Centre for Monetary and Financial Economics at London South Bank University (LSBU). He has also been Visiting Professor at both London Metropolitan University and LSBU, Research Professor at DIW Berlin and a NCID (Navarra Center for International Development) Non-Resident Fellow.
His research interests include Econometrics, Macroeconomics, Monetary and Financial Economics, International Finance. Professor Caporale has published papers in numerous books and leading academic journals, such as Journal of International Money and Finance, Journal of Banking and Finance, International Review of Financial Analysis, European Finance Journal, Journal of International Financial Markets Institutions and Money, Economics Letters, Canadian Journal of Economics, Journal of Macroeconomics, Econometric Reviews, Oxford Bulletin of Economics and Statistics, Journal of Forecasting, Computational Statistics and Data Analysis, Journal of Empirical Finance, Journal of Financial Econometrics, Southern Economic Journal, Eastern Economic Journal, Quarterly Review of Economics and Finance, Empirical Economics, Scottish Journal of Political Economy, Manchester School of Economic and Social Studies, International Journal of Finance and Economics, International Review of Economics and Finance, Review of International Economics, Review of Financial Economics, Review of Development Economics, Journal of Economic Surveys, Economic Modelling, Journal of Economics and Finance, Journal of Policy Modeling, and Review of World Economics. He is a member of various professional bodies and of the Money, Macro and Finance Research Group (MMFRG) Committee, a member of editorial boards (Journal of International Money and Finance, International Economics, International Review of Economics and Finance, etc), an active referee for several academic journals, a regular speaker at international conferences, and a consultant to leading companies and international organisations.
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This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for developed and emerging markets from 2010 up until 2020.
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