We examine the capability of CBOE S&P500 Volatility index (VIX) to determine returns of emerging stock market indices as compared to local stock markets volatility indicators. Our study considers CBOE S&P500 VIX, local BRIC stock market volatility indices and BRIC stock market MSCI indices daily returns in the period from January 1, 2009 to September 30, 2014. Research is conducted in two steps. First, we perform Spearman correlation analysis between daily changes in CBOE S&P500 VIX, local BRIC stock market VIX and MSCI BRIC stock market indices returns. Second, we perform multiple regression analysis with ARCH effects to estimate the relevance of CBOE S&P500 VIX and local VIX in determining BRIC stock market returns. Research reports weak correlation between CBOE S&P500 VIX and local VIX (except for Brazil). Furthermore, results challenge the assumption of CBOE S&P500 VIX being an indicator of global risk aversion. We conclude that commonly documented trends of rising globalization and stock markets co-integration are not yet present in emerging economies, therefore the usage of CBOE S&P500 VIX alone in determining BRIC stock market returns should be considered cautiously, and local volatility indices should be accounted for in analysis. Furthermore, the data confirms the presence of safe haven properties in Chinese stock market index.

Paper examines the capability of currencies to reduce portfolio risk during market turmoil periods by comparing the effect of active and naïve portfolio management strategies. Naïve strategy outperforms active in all cases, while diversification to CAD and GBP produce the lowest value at risk (VaR) and expected shortfall (ES). Keywords: safe-haven currencies, portfolio diversification, market turmoil, conditional correlations, VIX index.Straipsnyje tiriamas valiutų gebėjimas sumažinti portfelio riziką rinkos neapibrėžtumo laikotarpiais, palyginant aktyvios ir pasyvios portfelio valdymo strategijos efektą. Visais atvejais pasyvi strategija generuoja geresnius rezultatus nei aktyvi. Kanados doleris ir Didžiosios Britanijos svaras kuria žemiausią vertės pokyčio riziką ir tikėtiną deficitą. Raktažodžiai: saugaus prieglobsčio valiutos, investicinio portfelio diversifikavimas, rinkos neapibrėžtumo laikotarpis, sąlyginės koreliacijos, numanomo kintamumo indeksas.JEL Classifications: F31/G11/G15.

We examine underlying factors that explain an exceptionally low stock market participation rate among Lithuanian households by carrying out a comprehensive survey of mass affluent individuals. The probit regression analysis of the survey results indicates that lack of financial literacy, low risk tolerance and lack of trust in financial institutions are the three key factors explaining the stock market participation puzzle in Lithuania, while high investment fees, high stock market return expectations or underdeveloped local capital markets do not have a significant effect. The paper also examines whether the same factors also have influence on investment fund, bond and real estate market participation rates. Interestingly, lack of financial literacy, low risk tolerance, lack of trust in financial institutions and high stock market return expectations increase household participation rate in real estate market. The latter finding should be of particular interest to macro-prudential policy makers as increasing financial literacy of households and increasing trust in financial intermediaries would likely cause higher stock market participation at the expense of investments in local real estate market thus not only improving household portfolio diversification and liquidity, but also potentially mitigating local real estate boom and bust cycles.