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Content
2000, Volume 10, Issue 3
- 323-341 Effects of index option introduction on stock index volatility: a procedure for empirical testing based on SSC-GARCH models
by Leonardo Becchetti & Andrea Caggese
2000, Volume 10, Issue 2
- 117-121 Modelling the effects of regulatory discretion: Carsberg vs Spottiswoode
by T. A. Robinson - 123-135 Parallel exchange market as a transition mechanism for foreign exchange reform: China's experiment
by Maozu Lu & Zhichao Zhang - 137-142 Seasonality in the Athens stock exchange
by T. C. Mills & C. Siriopoulos & R. N. Markellos & D. Harizanis - 143-153 The relationship between short-term and forward interest rates: a structural time-series analysis
by Sridhar Iyer - 155-161 Interest rate spreads implicit in options: Spain and Italy against Germany
by Bernardino Adao & Jorge Barros Luis - 163-170 Hedging downside risk with futures contracts
by Donald Lien & Yiu Kuen Tse - 171-176 A regression tree analysis of real interest rate regime changes
by Paul Johnson & Marcio Garcia - 177-184 Long memory in the Greek stock market
by John Barkoulas & Christopher Baum & Nickolaos Travlos - 185-191 The financial performance of companies acquiring very large takeover targets
by R. A. Chatterjee - 193-198 Wealth effects of financial internationalization: a case of the Yen-Dollar Agreement between the United States and Japan
by Nobuyoshi Yamori & Taiji Baba - 199-206 Wealth and liquidity effects of stock delistings: empirical evidence from the stock exchanges of Singapore and Malaysia
by Ahamed Kameel Meera & Niranjan Tripathy & Michael Redfearn - 207-220 Testing volatility on the Trinidad and Tobago Stock Exchange
by Hyginus Leon & Shelton Nicholls & Kelvin Sergeant - 221-226 Do financial markets and the Maastricht Treaty discipline governments? New evidence
by Jakob De Haan & Jan-Egbert Sturm
2000, Volume 10, Issue 1
- 1-14 Some international evidence on stock prices as leading indicators of economic activity
by Anthony Aylward & Jack Glen - 15-26 The impact of monetary policy and banks' balance sheets: some international evidence
by Philippe Bacchetta & Fernando Ballabriga - 27-36 The impact of corporate growth opportunities on the market response to new equity announcements
by B. M. Burton & A. A. Lonie & D. M. Power - 37-39 Does the behaviour of the asset tell us anything about the option price formula? A cautionary tale
by L. C. G. Rogers & S. E. Satchell - 41-47 Interdependence between the US and major European equity markets: evidence from spectral analysis
by Ioannis Asimakopoulos & John Goddard & Costas Siriopoulos - 49-58 Australian industry beta risk, the choice of market index and business cycles
by Vanitha Ragunathan & Robert Faff & Robert Brooks - 59-69 What will be the risk-free rate and benchmark yield curve following European monetary union?
by Chris Brooks & Frank Skinner - 71-80 Meltdown of 1987 and meteor showers among Pacific-Basin stock markets
by Taufiq Choudhry - 81-93 Monte Carlo tests of cointegration in a bivariate normal common factor system
by Ralf Ostermark - 95-104 Do foreign exchange risk premiums relate to the volatility in the foreign exchange and equity markets?
by Christine Jiang & Thomas Chiang - 105-116 Short positions, size effect, and the liquidity hypothesis: implications for stock performance
by Said Elfakhani
1999, Volume 9, Issue 6
- 533-538 Lending rate stickiness and monetary transmission mechanism: the case of Canada and the United States
by Bakhtiar Moazzami - 539-543 Variance decomposition of stock returns and dividend imputation system
by Ping Wu - 545-550 Out-of-sample forecasting performance of single equation monetary exchange rate models in Norwegian currency markets
by Harald Reinton & Steven Ongena - 567-581 Stock returns and inflation: a new test of competing hypotheses
by Pierre Siklos & Ben Kwok - 583-591 Forecasting exchange rate volatility using autoregressive random variance model
by Mike So & K. Lam & W. K. Li - 593-604 The intraday relationship between volume and volatility in LIFFE futures markets
by Owain Ap Gwilym & David McMillan & Alan Speight - 605-613 An alternative approach to investigating lead-lag relationships between stock and stock index futures markets
by Chris Brooks & Ian Garrett & Melvin Hinich - 615-625 Volume effects in dual traded stocks: Hong Kong and London evidence
by Paul McGuinness - 627-637 The interactions between trading volume and volatility: evidence from the equity options markets
by Tae Park & Lorne Switzer & Robert Bedrossian
1999, Volume 9, Issue 5
- 423-432 Selecting hedge ratio maximizing utility or adjusting portfolio's beta
by Philippe Boveroux & Albert Minguet - 433-442 A theory of IPO pricing with tender prices
by Kian-Guan Lim & Edward Ng - 443-453 The differentiation of 'emerging' equity markets
by P. C. Kumar & George Tsetsekos - 455-468 Testing the CRISMA trading system: evidence from the UK market
by Alan Goodacre & Jacqueline Bosher & Andrew Dove - 469-475 Volume versus GARCH effects reconsidered: an application to the Spanish Government Bond Futures Market
by Jose Montalvo - 477-482 Revisiting the Holiday Effect: is it on holiday?
by Roger Vergin & John McGinnis - 483-490 Determinants of participatory rights insurance: evidence from the New Zealand life insurance industry
by M. B. Adams - 491-499 The effects of offering method and trading location on the pricing of IPOs in Singapore
by Ruth Seow Kuan Tan & Li Li Eng & Andrew Khoo - 501-511 Short-term and long-term price linkages between the equity markets of Australia and its major trading partners
by Eduardo Roca - 513-521 Productive efficiency, technological change and productivity in Portuguese banking
by Victor Mendes & Joao Rebelo - 523-532 Stocks and currencies: are they related?
by Li Lian Ong & H. Y. Izan
1999, Volume 9, Issue 4
- 305-314 Analysis of price reactions to interim dividend reductions — a note
by Balasingham Balachandran & John Cadle & Michael Theobald - 315-328 Unexpected inflation, inflation uncertainty, and stock returns
by Kiseok Lee - 329-336 Real exchange rate targeting and inflation in Indonesia: theory and empirical evidence
by Reza Yamora Siregar - 337-341 The nominal interest rate as a predictor of inflation: a re-examination of the underlying model
by Imad Moosa & Jolanta Kwiecien - 343-354 Net economic gain from diversification in the commercial banking industry
by Abdullah Al-Obaidan - 365-369 A common shift in real interest rates across countries
by Elias Tzavalis - 371-384 Efficiency and risk management in Spanish banking: a method to decompose risk
by Jose Pastor - 385-395 The information content of the German term structure regarding inflation
by Sebastian Schich - 397-421 Annual estimates of personal wealth holdings in the United Kingdom since 1948
by David Blake & J. Michael Orszag
1999, Volume 9, Issue 3
- 215-232 The long-run performance of initial public offerings in Thailand
by D. E. Allen & N. J. Morkel-Kingsbury & W. Piboonthanakiat - 233-238 Accuracy of consensus expectations for top-down earnings per share forecasts for two S&P indexes
by Richard Chung & Lawrence Kryzanowski - 239-250 Stochastic behaviour of the Athens Stock Exchange: a case of institutional nonsynchronous trading
by George Papachristou - 251-262 Some evidence on the distribution of beta in Hong Kong
by Keith Lam - 263-271 The volatility of US term structure term premia 1952 - 1991
by Olan Henry - 273-281 Nonsimultaneous prices and the evaluation of managed portfolios in Spain
by Begona Basarrate & Gonzalo Rubio - 283-287 Volatility, volume and maturity in electricity futures
by W. David Walls - 289-293 On the interrelationships among real, monetary, and financial variables
by A. F. Darrat & R. N. Dickens - 295-303 Cost of capital and Australia's banking investment abroad
by Fariborz Moshirian & Toan Pham
1999, Volume 9, Issue 2
- 117-127 Purchasing power parity in the long run and structural breaks: evidence from real sterling exchange rates
by Andrew Parkes & Andreas Savvides - 129-142 A multi-country analysis of the temporary and permanent components of stock prices
by Liam Gallagher - 143-153 Combining analysts' forecasts with causal model forecasts of earnings growth
by Salvatore Terregrossa - 155-165 Comparison of univariate and multivariate Granger causality in international asset pricing. Evidence from Finnish and Japanese financial economies
by Ralf Ostermark & Jaana Aaltonen - 167-172 Does purchasing power parity hold after all? Evidence from a robust test
by Roberto Fernandes Guimaraes-Filho - 173-181 Setting futures margins: the extremes approach
by Hans Dewachter & Geert Gielens - 183-191 Technical analysis versus market efficiency - a genetic programming approach
by Colin Fyfe & John Paul Marney & Heather Tarbert - 193-200 Parameterization of model-consistent expectations in monetary policy models
by Victoria Hoogenveen & Elmer Sterken - 201-208 The price behaviour of initial public offerings on the Taiwan Stock Exchange
by Yen-Sheng Huang - 209-214 Nominal interest rates, expected inflation and varying marginal income tax rates
by Sadhana Alangar & Scott Hein
1999, Volume 9, Issue 1
- 1-9 Short- and long-term links among European and US stock markets
by Robert-Jan Gerrits & Ayse Yuce - 11-19 Economies of scale in the Italian saving bank industry
by Richard Simper - 21-30 Uncertain information release and informed trading
by David Walsh - 31-50 Convenience yield, mean reverting prices, and long memory in the petroleum market
by A. Mazaheri - 51-65 Pricing and quality option in Japanese government bond futures
by Bing-Huei Lin & Ren-Raw Chen & Jian-Hsin Chou - 67-71 The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994
by J. Andrew Coutts & Peter Hayes - 73-85 Macroeconomic determinants of long-term stock market comovements among major EMS countries
by Yin-Wong Cheung & Kon Lai - 87-99 Financial fragility, heterogeneous agents, and aggregate fluctuations: evidence from a panel of US firms
by Luca Stanca & Domenico Delli Gatti & Mauro Gallegati - 101-108 Interest rate differentials, market integration, and the efficiency of commodity futures markets
by Adusei Jumah & Sohbet Karbuz & Gerhard Runstler
1998, Volume 8, Issue 6
- 553-558 Is the dollar/ECU exchange rate a random walk?
by Paul Newbold & Toni Rayner & Neil Kellard & Christine Ennew - 559-566 A fractional cointegration test of purchasing power parity: the case of selected members of OPEC
by Abdol Soofi - 567-575 The unbiased forward rate hypothesis: a re-examination
by Chulho Jung & K. Doroodian & Robert Albarano - 577-587 Modelling real exchange rate behaviour: a cross-country study
by Ashok Parikh & Geoffrey Williams - 589-596 On forecasting exchange rates using neural networks
by Philip Hans Franses & Paul van Homelen - 597-605 The causes of stock market volatility in Australia
by Colm Kearney & Kevin Daly - 607-614 Linkages between the US and European equity markets: further evidence from cointegration tests
by Angelos Kanas - 615-625 Term structure and interest differentials as predictors of future inflation changes and inflation differentials
by Guglielmo Maria Caporale & Nikitas Pittis - 627-635 The Australian yield curve as a leading indicator of consumption growth
by Chay Fisher & Bruce Felmingham - 645-652 Lower partial moment hedge ratios
by Babak Eftekhari - 653-661 Intermediation and value-added models for estimating cost economies in large Japanese banks 1977-93
by J. Colin Glass & Donal McKillop & Yukio Morikawa - 663-669 Testing the expectations model of the term structure in times of financial transition
by C. John McDermott - 671-687 A Bayesian analysis of stock return volatility and trading volume
by Ronald Mahieu & Rob Bauer - 689-696 Efficiency of multinational banks: an empirical investigation
by C. Edward Chang & Iftekhar Hasan & William Hunter
1998, Volume 8, Issue 5
- 445-454 The contribution of emerging markets in international diversification strategies
by Theodor Kohers & Gerald Kohers & Vivek Pandey - 455-458 A note on Credit Union reserve ratios and asset growth
by C. W. Jefferson & J. E. Spencer - 459-467 Efficiency in Australian building societies: an econometric cost function approach
by Andrew Worthington - 469-475 Identifying credit and liquidity effects using a rank condition
by R. D. Rossiter - 477-485 Forecasting index volatility: sampling interval and non-trading effects
by David Walsh & Glenn Yu-Gen Tsou - 487-494 Determinants of the leasing decision in United Kingdom listed companies
by Mike Adams & Philip Hardwick - 495-503 Uncovered interest parity: New Zealand' s post-deregulation experience
by Alan King - 505-512 A comparison of short-term interest rate models: empirical tests of interest rate volatility
by Mikiyo Kii Niizeki - 513-517 Real stock prices and the long-run demand for money in Germany
by John Thornton - 519-531 The effectiveness of tightening illegal insider trading regulation: the case of corporate takeovers
by Anthony Boardman & Z. Stuart Liu & Marshall Sarnat & Ilan Vertinsky - 533-539 Foreign banks, profits and commercial credit extension in the United States
by Philip Molyneux & Rama Seth - 541-551 Estimating structural exchange rate models by artificial neural networks
by Joseph Plasmans & William Verkooijen & Hennie Daniels
1998, Volume 8, Issue 4
- 329-332 Fractional cointegration tests with GARCH
by Yiuman Tse - 333-346 The mean-variance model with capital controls and expectations formation. A test on German portfolio data
by W. Jos Jansen - 347-352 Empirical tests of short-term interest rate models: a nonparametric approach
by Mikiyo Kii Niizeki - 353-357 What causes intra-week regularities in stock returns? Some evidence from the UK
by David Bell & Eric Levin - 359-365 The intertemporal stability of the covariance and correlation matrices of Hong Kong stock returns
by Gordon Tang - 367-375 Speed of adjustment to the long-run equilibrium: an application with US Stock Price and Dividend data
by Burak Saltoglu - 377-388 Testing the conditional CAPM using multivariate GARCH-M
by Bjorn Hansson & Peter Hordahl - 389-400 Share prices under Tory and Labour governments in the UK since 1945
by Robert Hudson & Kevin Keasey & Mike Dempsey - 401-407 Continuous-time short term interest rate models
by K. Ben Nowman - 409-418 The economic efficiency of the Credit Department of Farmers' Associations in Taiwan
by Ching-Cheng Chang & Tsung-Chuan Hsieh - 419-434 The long-run performance following Japanese rights issues
by Jun Cai - 435-443 Short and long-run dependence in Swedish stock returns
by Lennart Berg & Johan Lyhagen
1998, Volume 8, Issue 3
- 211-220 A model and empirical test of the strong form efficiency of US capital markets: more evidence of insider trading profitability
by Ahmet Kara & Karen Craft Denning - 221-230 The expected favourableness of dividend signals, the direction of dividend change and the signalling role of dividend announcements
by Said Elfakhani - 231-243 Chaos in an emerging capital market? The case of the Athens Stock Exchange
by John Barkoulas & Nickolaos Travlos - 245-256 Volatility spillovers across equity markets: European evidence
by Angelos Kanas - 257-265 Common long-term and short-term price memory in two Scandinavian stock markets
by Seppo Pynnonen & Johan Knif - 267-278 Extreme events from the return-volume process: a discretization approach for complexity reduction
by Peter Buhlmann - 279-287 The determinants of non-bank financial institution efficiency: a stochastic cost frontier approach
by Andrew Worthington - 289-300 Efficiency and technical change for Spanish banks
by Ana Lozano-Vivas - 301-313 Credit spreads on government bonds
by Kamhon Kan - 315-327 Portfolio analysis of South American stock markets
by Yochanan Shachmurove
1998, Volume 8, Issue 2
- 101-109 Testing the expectations theory in a market of short-term financial assets
by Maria Asuncion Prats Albentosa & Arielle Beyaert - 111-118 A decomposition of the term structure model of Heath, Jarrow and Morton
by Chen Guo - 119-125 The diminishing calendar anomalies in the stock exchange of Singapore
by Ruth Seow Kuan Tan & Wong Nee Tat - 127-132 Tests for interest rate convergence and structural breaks in the EMS
by Stilianos Fountas & Jyh-Lin Wu - 133-144 Monetary disturbance or financial market collapse: tests of two theories of the Great Depression
by Barbara McKiernan - 145-153 Modelling the asymmetry of stock market volatility
by Olan Henry - 155-166 Consumer confidence announcements: do they matter?
by O. David Gulley & Jahangir Sultan - 167-174 Stock market prices, 'causality' and efficiency: evidence from the Athens stock exchange
by Nikitas Niarchos & Christos Alexakis - 175-180 Ownership structure and firm performance: evidence from the UK financial services industry
by Ram Mudambi & Carmela Nicosia - 181-190 Testing the rationality of expectations in the Australian foreign exchange market using survey data with missing observations
by G. C. Lim & C. R. McKenzie - 191-200 Market structure and performance in Spanish banking using a direct measure of efficiency
by Joaquin Maudos - 201-210 Precious metals and inflation
by Nicholas Taylor
1998, Volume 8, Issue 1
- 1-12 International correlation structure of financial market movements - the evidence from the UK and the US
by Arnold Cheng - 13-20 Beta, size and returns: a study on the French Stock Exchange
by Jean-Jacques Lilti & Helene Rainelli-Le Montagner - 21-28 A multifactor model of gold industry stock returns: evidence from the Australian equity market
by Robert Faff & Howard Chan - 29-39 IPO profit forecasts and their role in signalling firm value and explaining post-listing returns
by Michael Firth - 41-49 Do markets learn from experience? Price reaction to stock dividends in the Turkish market
by Kursat Aydogan & Gulnur Muradoglu - 51-59 A numerical analysis of the monetary aspects of the Japanese economy: the cash-in-advance approach
by Shigeyuki Hamori & Shin-Ichi Kitasaka - 61-65 The market efficiency hypothesis on stock prices: international evidence in the 1920s
by Junsoo Lee & Jen-Chi Cheng & Chyongchiou Lin & Cliff Huang - 67-72 Multivariate Granger causality in international asset pricing: evidence from the Finnish and Japanese financial economies
by Ralf Ostermark - 73-80 The relationship between US and Canadian wheat futures
by G. Geoffrey Booth & Paul Brockman & Yiuman Tse - 81-87 New evidence on the expectations theory of the term structure of Australian Commonwealth Government Treasury yields
by Ross Guest & Alan McLean - 89-99 Managerial objectives in Japanese banking: a test of the expense preference hypothesis
by Hiroshi Izawa & Yoshiro Tsutsui
1997, Volume 7, Issue 6
- 575-586 Augmented ARCH models for financial time series: stability conditions and empirical evidence
by Robert Kunst - 587-598 The monetary exchange rate model within the ERM: cointegration tests and implications concerning the German dominance hypothesis
by Angelos Kanas - 599-604 Stylized facts on the temporal and distributional properties of daily FT-SE returns
by Terence Mills - 605-610 Estimation of the bid/ask spread on Danish stocks, an evaluation of Roll's estimator
by Ken Nyholm - 611-617 Does speculation play any role in determining the forward exchange rate?
by Imad Moosa & Razzaque Bhatti - 619-634 Nonlinear dynamics and daily stock returns on the Taiwan Stock Exchange
by Yih-Luan Chyi - 635-643 A re-examination of the fragility of evidence from cointegration-based tests of foreign exchange market efficiency
by John Barkoulas & Christopher Baum - 645-657 Share market efficiency: tests using daily data for Australia and New Zealand
by Nicolaas Groenewold - 659-665 Common stochastic trends in international stock prices and dividends: an example of testing overidentifying restrictions on multiple cointegration vectors
by Tom Engsted & Jesper Lund - 667-672 Long memory in the Canadian stock market
by Steve Beveridege & Cyril Oickle - 673-678 The demand for international liquidity: a cointegration approach
by Costas Karfakis - 679-687 Stock return predictability or mismeasured risk?
by A. D. Clare & R. Priestley & S. H. Thomas - 689-694 The impact of settlement time on the volatility of stock markets
by Dong Li & Shao-King Lin & Chulin Li - 695-701 An exploratory empirical analysis of the impact of the Federal Deposit Insurance Corporation Improvement Act of 1991 on bank failures in the United States
by R. J. Cebula - 703-710 Reaction of bank stock prices to the multiple events of the Brazilian debt crisis
by IKE Mathur & Sridhar Sundaram - 711-719 Testing for foreign exchange market efficiency - a trivariate vector autoregressive approach
by Chyng-Hua Shen - 721-730 The information on inflation in the Australian term structure
by Lakshman Alles & Ramaprasad Bhar
1997, Volume 7, Issue 5
- 447-454 Price variability, trading volume and market depth: evidence from the Australian futures market
by Vanitha Ragunathan & Albert Peker - 455-464 Security price anomalies in the London International Stock Exchange: a 60 year perspective
by Zainudin Arsad & J. Andrew Coutts - 465-471 Domestic and external factors in interest rate determination
by Guglielmo Maria Caporale & Nikitas Pittis - 473-480 The effect of volatility estimates in the valuation of underwritten rights issues
by Howard Chan - 481-492 Ex—dividend day stock price falls on the Spanish stock market
by Manuel Espitia & Francisco-Javier Ruiz - 493-498 Stock market returns in thin markets: evidence from the Vienna Stock Exchange
by Peter Huber - 499-505 Deterministic versus stochastic volatility: implications for option pricing models
by Paul Brockman & Mustafa Chowdhury - 507-515 The monetary model of the exchange rate and the Greek drachma in the 1920s
by Dimitris Georgoutsos & Georgios Kouretas - 517-523 Testing for seasonal patterns in conditional return volatility: evidence from Asia-Pacific markets
by Andrew Clare & Ian Garrett & Greg Jones - 525-536 An empirical investigation of asset-liability management of small US commercial banks
by Van Son Lai & M. Kabir Hassan - 537-548 Long-term over-reaction in the UK stock market and size adjustments
by Kevin Campbell & Robin Limmack - 549-558 Estimating skewness persistence in market returns
by Jati Sengupta & Yijuan Zheng - 559-566 The impact of inflation rate announcements on interest rate volatility: Australian evidence
by Param Silvapulle & Robert Pereira & John Lee - 567-573 Long-term valuation effects of shareholder activism
by Aigbe Akhigbe & Jeff Madura & Alan Tucker
1997, Volume 7, Issue 4
- 327-336 Currency substitution and exchange rate determination
by Yijian He & Subhash Sharma - 337-346 The Fisher effect and Australian interest rates
by K. M. Hawtrey - 347-359 The stability of ARCH models across Australian financial futures markets
by Robert Brooks & John Lee - 361-365 Technical analysis, trading volume and market efficiency: evidence from an emerging market
by A. Antoniou & N. Ergul & P. Holmes & R. Priestley - 367-377 A time-varying analysis of abnormal performance of UK property companies
by George Matysiak & Gerald Brown - 379-394 Option pricing under stochastic volatility and stochastic interest rate in the Spanish case
by Marc Saez - 395-402 Dynamics of inflation in Sub-Saharan Africa: the role of foreign inflation, official and parallel market exchange rates, and monetary growth
by M. O. Odedokun - 403-411 International linkages in bank lending and borrowing markets: evidence from six industrialized countries
by Arjun Chatrath & Sanjay Ramachander & Frank Song - 413-417 On the unbiasedness of the forward rate in the Singapore foreign exchange market
by Wee-Beng Gan & Lee-Ying Soon - 419-426 Macroeconomic volatility and stock market volatility: empirical evidence on Finnish data
by Eva Liljeblom & Marianne Stenius - 427-437 Capital structure choice and financial market liberalization: evidence from New Zealand
by Glenn Boyle & Kelly Eckhold - 439-445 Stock prices, inflation and output: evidence from India
by Arjun Chatrath & Sanjay Ramchander & Frank Song
1997, Volume 7, Issue 3
- 213-221 A multivariate cointegration approach to the determination of reserves and money balances in India
by Ashok Parikh & David Lovatt - 223-228 Productivity growth in the Hellenic banking industry: state versus private banks
by Athanasios Noulas