Content
2002, Volume 12, Issue 11
- 791-798 Evaluating the hedging performance of the constant-correlation GARCH model
by Donald Lien & Y. K. Tse & Albert Tsui - 799-804 The Forward Rate Unbiasedness Hypothesis revisited
by Tsung-Wu Ho - 805-811 Large changes in major exchange rates: a chronicle of the 1990s
by B. J. Lobo - 813-826 On the predictive ability of several common models of volatility: an empirical test on the FOX index
by Marko Maukonen - 827-834 Effects of financial constraints on research and development investment: an empirical investigation
by Neslihan Ozkan - 835-842 Returns and the interest rate: a non-linear relationship in the Bogotastock market
by L. E. Arango & A. Gonzalez & C. E. Posada
2002, Volume 12, Issue 10
- 687-696 Some answers to puzzles in testing unbiasedness in the foreign exchange market
by Scott Barnhart & Robert McNown & Myles Wallace - 697-706 The short-run price performance of investment trust IPOs on the UK main market
by Arif Khurshed & Ram Mudambi - 707-713 Return-volume dynamics in UK futures
by David McMillan & Alan Speight - 715-724 The predictability of futures returns: rational variation in required returns or market inefficiency?
by Joelle Miffre - 725-729 Long memory in stock returns: some international evidence
by Olan Henry - 731-741 Intra- and inter-continental transmission of inflation in Africa
by Jin-Gil Jeong & Philip Fanara & Charlie Mahone - 743-750 Mutual funds as an alternative to direct stock investment: A cointegration approach
by Juan Carlos Matallin & Luisa Nieto - 751-763 Testing the univariate conditional CAPM in thinly traded markets
by Per Bjarte Solibakke
2002, Volume 12, Issue 9
- 613-623 The time profile of risk in banking crises: evidence from Scandinavian banking sectors
by Ari Hyytinen - 625-631 Purchasing power parity in the long-run: evidence from Australia's recent float
by George Tawadros - 633-637 Identifying irregularities in a financial market
by David Paton & Leighton Vaughan Williams - 639-653 Technical trading strategies and return predictability: NYSE
by Ki-Yeol Kwon & Richard Kish - 655-665 Determinants of capital structure choice: a study of the Indian corporate sector
by Saumitra Bhaduri - 667-672 The effect of interest rate volatility on treasury yields
by Sudipto Sarkar & Mohamed Ariff - 673-680 Have unincorporated businesses in the UK been constrained in their ability to obtain bank lending?
by David Barlow & Martin Robson - 681-686 Why investors should be cautious of the academic approach to testing for stock market anomalies
by Robert Hudson & Kevin Keasey & Kevin Littler
2002, Volume 12, Issue 8
- 535-543 Do forecasters use monetary models? an empirical analysis of exchange rate expectations
by Michael Schroder & Robert Dornau - 545-553 Korean stock prices under price limits: variance ratio tests of random walks
by Hyun-Jung Ryoo & Graham Smith - 555-564 Generalized asymmetric power ARCH modelling of exchange rate volatility
by Michael McKenzie & Heather Mitchell - 565-574 Share returns and the Fisher hypothesis reconsidered
by Jakob Madsen - 575-580 Predictability of stock returns: is it rational?
by Samih Antoine Azar - 581-588 Do venture capitalists add value? A comparative study between Singapore and US
by Clement Wang & Kangmao Wang & Qing Lu - 589-600 Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates
by Michel Beine & Sebastien Laurent & Christelle Lecourt - 601-612 A solution to the equity premium and riskfree rate puzzles: an empirical investigation using Japanese data
by Atsushi Maki & Tadashi Sonoda
2002, Volume 12, Issue 7
- 457-467 Aggregate market returns and UK unit trust net acquisitions
by Andrew Clare & Philip Moschetti - 469-474 The stock market rumours and stock prices: a test of price pressure and size effect in an emerging market
by Halil Kiymaz - 475-484 African stock markets: multiple variance ratio tests of random walks
by Graham Smith & Keith Jefferis & Hyun-Jung Ryoo - 485-491 An Empirical analysis of cancelled mergers, board composition and ownership structure
by Wallace Davidson & Stuart Rosenstein & Sridhar Sundaram - 493-504 Can forward rates be used to improve interest rate forecasts?
by Emilio Dominguez & Alfonso Novales - 505-516 Competition and efficiency in the Spanish banking sector: the importance of specialization
by Joaquin Maudos & Jose Pastor & Francisco Perez - 517-525 The nearest neighbour method as a test for detecting complex dynamics in financial series. An empirical application
by Teresa Aparicio & Eduardo Pozo & Dulce Saura - 527-534 International capital standards, bank portfolios and bank stock risk
by Sunil Mohanty & Frank Song
2002, Volume 12, Issue 6
- 379-387 Asymmetric dynamics in UK real interest rates
by Jerry Coakley & Ana-Maria Fuertes - 389-394 Financial liberalization and stock market volatility in selected developing countries
by Konstantinos Kassimatis - 395-403 Margin requirements, positive feedback trading, and stock return autocorrelations: the case of Japan
by Toshiaki Watanabe - 405-413 Liquidity effects and precautionary saving in the Czech Republic
by Don Bredin & Keith Cuthbertson - 415-429 Stock market integration: evidence on price integration and return convergence
by Kari Heimonen - 431-445 Product mix clubs, divergence and inequality of Spanish banking firms
by Francisco Perez & Emili Tortosa-Ausina - 447-456 Tests for interest rate convergence and structural breaks in the EMS: further analysis
by Mariam Camarero & Javier Ordon Ez & Cecilio Tamarit
2002, Volume 12, Issue 5
- 309-317 SFA, TFA and a new thick frontier: graphical and analytical comparisons
by S. B. Caudill - 319-329 Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituents
by Bevan Blair & Ser-Huang Poon & Stephen Taylor - 331-335 Fractional cointegration: Monte Carlo estimates of critical values, with an application
by P. S. Sephton - 337-345 Bank solvency evaluation with a Markov model
by Juan Reboredo - 347-359 The differential effects of agency costs on multinational corporations
by Francis Wright & Jeff Madura & Kenneth Wiant - 361-370 The world price of exchange risk in the Pacific Basin equity markets
by Peter Shyan-Rong Chou & Yin-Ching Jan & Mao-Wei Hung - 371-378 New product innovations, information signalling and industry competition
by Aigbe Akhigbe
2002, Volume 12, Issue 4
- 231-240 The impact of federal reserve intervention on exchange rate volatility: evidence from the futures markets
by Sanjay Ramchander & R. Raymond Sant - 241-251 Hedging interest rate risk with multivariate GARCH
by Eduardo Rossi & Claudio Zucca - 253-270 Asset price reactions to RPI announcements
by Michael Joyce & Vicky Read - 271-284 A comparative multiproduct cost study of foreign-owned and domestic-owned US banks
by Elyas Elyasiani & Rasoul Rezvanian - 285-290 The transmission of shocks among S&P indexes
by Bradley Ewing - 291-299 Emerging stock markets return seasonalities: the January effect and the tax-loss selling hypothesis
by Stilianos Fountas & Konstantinos Segredakis - 301-307 Old volatility - ARCH effects in 19th century consol data
by Heather Mitchell & Rob Brown & Stephen Easton
2002, Volume 12, Issue 3
- 155-158 An unbiased variance estimator for overlapping returns
by Pauline Bod & David Blitz & Philip Hans Franses & Roy Kluitman - 159-170 Capital structure and its determinants in the UK - a decompositional analysis
by Alan Bevan & Jo Danbolt - 171-181 The long-term performance of parent and units following equity carve-outs
by Jeff Madura & Terry Nixon - 183-192 Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH
by Pierluigi Bologna & Laura Cavallo - 193-202 Forecasting volatility in the New Zealand stock market
by Jun Yu - 203-212 Measuring growth opportunities
by Jo Danbolt & Ian Hirst & Edward Jones - 213-229 Emerging stock markets: a more realistic assessment of the gains from diversification
by S. G. M. Fifield & D. M. Power & C. D. Sinclair
2002, Volume 12, Issue 2
- 77-84 The impact of the movements in US threemonth Treasury bill yields on the equity markets in Latin America
by Gokce Soydemir - 85-93 Stock splits and stock return behaviour: how Germany tries to improve the attractiveness of its stock market
by Jorg Bley - 95-103 The disclosure of directors' share option information in UK companies
by Martin Conyon & Christine Mallin & Graham Sadler - 105-121 Relationship between debt, R&D and physical investment, evidence from US firm-level data
by Chaoshin Chiao - 123-130 Strategic parameters for capital budgeting when abandonment value is stochastic
by Ephraim Clark & Patrick Rousseau - 131-139 Foreign exchange market efficiency and cointegration
by Montserrat Ferre & Stephen Hall - 141-145 Anomalies in US equity markets: a re-examination of the January effect
by Seyed Mehdian & Mark Perry - 147-153 The effects of news on exchange rates when the risk premium is considered
by Van Newby
2002, Volume 12, Issue 1
- 1-8 Imaginary moneys as international units of account
by Holger Wolf - 9-18 Mean aversion and return predictability in currency futures
by Tribhuvan Puri & Elyas Elyasiani & Jilleen Westbrook - 19-24 The determinants of corporate debt maturity: evidence from UK firms
by Aydin Ozkan - 25-31 Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?
by Chris Brooks & Ian Garrett - 33-38 Is one price enough to value a state-contingent asset correctly? Evidence from a gambling market
by Michael Cain & David Law & David Peel - 39-46 A note on foreign bank investment in the USA
by Jose Paulo Esperanca & Mohamed Azzim Gulamhussen - 47-55 Modelling volatility and testing for efficiency in emerging capital markets: the case of the Athens stock exchange
by Gregorios Siourounis - 57-75 Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bonds
by Bing-Huei Lin
2001, Volume 11, Issue 6
- 581-589 Forecasting capital flows to emerging markets: a Kalman filtering approach
by Ashoka Mody & Mark Taylor & Jung Yeon Kim - 591-601 Measuring convergence speed of asset prices toward a pre-announced target
by Hans Dewachter & Dirk Veestraeten - 603-612 Interest rate spreads between Italy and Germany: 1995-1997
by Marcello D'Amato & Barbara Pistoresi - 613-617 Curbing expense preference behaviour in commercial banking: econometric evidence
by Franklin Mixon & Kamal Upadhyaya - 619-640 The contrarian investment strategy: additional evidence
by Johnathan Mun & Richard Kish & Geraldo Vasconcellos - 641-649 Is there a long run relationship between stock returns and monetary variables: evidence from an emerging market
by Gulnur Muradog Lu & Kivilcim Metin & Reha Argac - 651-658 Price volatility, trading volume, and market depth: evidence from the Japanese stock index futures market
by Toshiaki Watanabe - 659-668 The behaviour of the currency-deposit ratio in mainland China
by Mohammad Hasan - 669-680 The conditional relation between beta and returns in the Hong Kong stock market
by Keith Lam - 681-691 Evaluating currency market efficiency: are cointegration tests appropriate?
by Neil Kellard & Paul Newbold & Tony Rayner
2001, Volume 11, Issue 5
- 467-467 Editorial
by Sherry Dixon - 469-474 The distributional properties of shocks to a fractional I(d) process having a marginal exponential distribution
by Clive Granger & Yongil Jeon - 475-481 The monetary approach to exchange rates and the behaviour of the Canadian dollar over the long run
by Bill Francis & Iftekhar Hasan & James Lothian - 483-487 Handle with care: cost of equity estimation with the discounted dividend model when corporations repurchase
by Douglas Lamdin - 489-495 Lead-lag patterns between small and large size portfolios in the London stock exchange
by Terence Mills & Jordan Jordanov - 497-509 Overreaction in the NFL point spread market
by Roger Vergin - 511-526 Exchange rate misalignment and nonlinear convergence to purchasing power parity in the European exchange rate mechanism
by Matteo Iannizzotto - 527-538 Using accounting data to measure efficiency in banking: an application to Portugal
by Paulo Soares De Pinho - 539-556 Efficiently ARMA-GARCH estimated trading volume characteristics in thinly traded markets
by P. B. Solibakke - 557-571 Efficiency and productivity change in UK banking
by Leigh Drake - 573-579 A multivariate test for stock market efficiency: the case of ASE
by Manolis Kavussanos & Everton Dockery
2001, Volume 11, Issue 4
- 353-359 Modelling the day-of-the-week effect in the Kuwait Stock Exchange: a nonlinear GARCH representation
by Nabeel Al-Loughani & David Chappell - 361-372 Changes in settlement regime and the modulation of day-of-the-week effects in stock returns
by Stephen Keef & Paul McGuinness - 373-384 The effects of firm-specific variables and consensus forecast data on the pricing of large Swedish firms' stocks
by Anders Johansson & Lars Rolseth - 385-393 The lead-lag relationship between the FTSE100 stock index and its derivative contracts
by Owain Ap Gwilym & Mike Buckle - 395-402 Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange
by Epaminondas Panas - 403-409 The term spread as a cyclical indicator: a forecasting evaluation
by Bryan Boulier & H. O. Stekler - 411-422 The stability of risk factors in the UK stock market
by S. Saiful Bahri & Lawrence Leger - 423-433 Labour demand and efficiency in Swedish savings banks
by Almas Heshmati - 435-444 How efficient are FX markets? Empirical evidence of arbitrage opportunities using high-frequency data
by Christos Kollias & Kostantinos Metaxas - 445-456 Modelling the volatility in East European emerging stock markets: evidence on Hungary and Poland
by Sunil Poshakwale & Victor Murinde - 457-466 Persistence of mutual fund operating characteristics: returns, turnover rates, and expense ratios
by William Droms & David Walker
2001, Volume 11, Issue 3
- 237-242 An estimation of X-inefficiency in Taiwan's banks
by Tser-Yieth Chen - 243-251 The empirical relationship between mutual fund size and operational efficiency
by Stephen Zera & Jeff Madura - 253-260 Volatility persistence in asset markets: long memory in high/low prices
by J. D. Byers & D. A. Peel - 261-268 A note on testing the monetary model of the exchange rate
by Mathias Moersch & Dieter Nautz - 269-277 Computing sets of expected utility maximizing distributions for common utility functions
by Paul Thistle & John Burnett - 279-286 The predictive power of the monetary model of exchange rate determination
by George Tawadros - 287-290 The rationality of price forecasts: a directional analysis
by Jordi Pons - 291-297 Positive feedback trading in emerging capital markets
by Gregory Koutmos & Reza Saidi - 299-315 The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange
by Thomas Lux - 317-319 The determinants of the Tunisian deposit banks' performance
by Samy Ben Naceur & Mohamed Goaied - 321-332 Fractional cointegration of voting and non-voting shares
by Ingolf Dittmann - 333-339 Bayesian analysis of the dividend behaviour
by Ho-Chuan River Huang - 341-352 Volatility dynamics in high frequency financial data: an empirical investigation of the Australian equity returns
by G. Mujtaba Mian & Christopher Adam
2001, Volume 11, Issue 2
- 119-126 Induced persistence or reversals in fund performance?: the effect of survivorship bias
by Terrence Hallahan & Robert Faff - 127-136 Equilibrium adjustment, basis risk and risk transmission in spot and forward foreign exchange markets
by Peijie Wang & Ping Wang - 137-146 An examination of return and volatility patterns on the Irish equity market
by Lakshman Alles & Louis Murray - 147-155 Charter status, ownership type and efficiency in the thrift industry
by Janice Caudill & Steven Caudill & Daniel Gropper - 157-163 Testing a two factor APT model on Australian industry equity portfolios: the effect of intervaling
by Thomas Josev & Robert Brooks & Robert Faff - 165-171 Risk taking behaviour and managerial ownership in the United States life insurance industry
by Carl Chen & Thomas Steiner & Ann Marie White - 173-177 A nonparametric test for marginal conditional stochastic dominance
by Edward Seiler - 179-186 Volatility smiles and the information content of news
by Fabio Fornari & Antonio Mele - 187-196 The risk and return of UK equities following price innovations: a case of market inefficiency?
by Robert Hudson & Kevin Keasey & Kevin Littler - 197-207 An empirical analysis of the relationship of bond yield spreads and macro economic factors
by George Athanassakos & Peter Carayannopoulos - 209-220 Nonlinearities in the black market zloty-dollar exchange rate: some further evidence
by David McMillan & Alan Speight - 221-230 CRISMA revisited
by Alan Goodacre & Tessa Kohn-Speyer - 231-236 Effects of financial structure and instruments on income of low income credit unions
by Ellene Kebede & Curtis Jolly
2001, Volume 11, Issue 1
- 1-8 Nonparametric cointegration analysis of real exchange rates
by Jerry Coakley & Ana-Maria Fuertes - 9-16 Noncredit risks subsidization in the international capital standards
by Sunil Mohanty - 17-21 Broken trend output in a model of stock returns and economic activity
by Perry Sadorsky - 23-36 Price spread and convenience yield behaviour in the international oil market
by Nikolaos Milonas & Thomas Henker - 37-44 Hedging sterling eurobond portfolios: a proposal for eurobond futures contract
by A. D. Clare & M. C. Oozeer - 45-55 Czech parallel capital markets: discrepancies and inefficiencies
by Jan Hanousek & Libor Nemecek - 57-68 The hedging effectiveness of stock index futures: evidence for the FTSE-100 and FTSE-mid250 indexes traded in the UK
by Darren Butterworth & Phil Holmes - 69-73 International correlations and excess returns in European stock markets: does EMU matter?
by Bernd Kempa & Michael Nelles - 75-81 Impact of interest rate swaps on corporate capital structure: an empirical investigation
by Jian Yang & George Davis & David Leatham - 83-91 The demand for household debt in the USA: evidence from the 1995 Survey of Consumer Finance
by Jonathan Crook - 93-105 Volatility in the transition markets of Central Europe
by Maria Kasch-Haroutounian & Simon Price - 107-118 Expiration-day effect: evidence from high-frequency data in the Hong Kong stock market
by Andy Kan
2000, Volume 10, Issue 6
- 579-586 Trading rules and stock returns: some preliminary short run evidence from the Hang Seng 1985-1997
by J. Andrew Coutts & Kwong-C. Cheung - 587-595 Productivity growth, market structure, and technological change: evidence from the rural banking sector
by Michael Devaney & William Weber - 597-613 Index option market activity and cash market volatility under different market conditions: an empirical study from Sweden
by Niclas Hagelin - 615-622 Purchasing power parity, nonlinearity and chaos
by Apostolos Serletis & Periklis Gogas - 623-633 Implications of dependence in stock returns for asset allocation
by Alois Geyer - 635-644 The information content of corporate domicile relocation announcements: the case of Hong Kong
by Siu-Yeung Chan & Wai-Ming Fong - 645-653 An empirical examination of the value relevance of consolidated earnings figures under a cost of acquisition regime
by Dimosthenis Hevas & George Karathanassis & Nickolaos Iriotis - 655-665 The variability of inflation and real stock returns
by Xiaoqiang Hu & Thomas Willett - 667-677 US inflation-indexed bonds in the long run: a hypothetical view
by Nicholas Taylor - 679-684 On the information content of futures market and professional forecasts of interest rates
by Hamid Baghestani & Woo Jung & Daniel Zuchegno - 685-692 Exchange-rate uncertainty and dollarization: a structural vector error correction approach to estimating money demand
by Susan Pozo & Mark Wheeler - 693-700 The behaviour of Irish ISEQ index: some new empirical tests
by Philip Hamill & Kwaku Opong & Dan Sprevak
2000, Volume 10, Issue 5
- 461-470 The Federal Reserve's response to exchange rate shocks
by Djeto Assane & Bernard Malamud - 471-482 The pound sterling and the franc Poincare in the 1920s: long-run relationships, speculation and temporal stability
by Dimitris Georgoutsos & Georgios Kouretas - 483-488 Modelling day-of-the-week seasonality in the S&P 500 index
by Philip Hans Franses & Richard Paap - 489-492 Evidence of market inefficiency in a war environment
by David Chappell & Robert Eldridge - 493-505 Does shareholder myopia lead to managerial myopia? A first look
by Cherian Samuel - 507-518 CAR 2: the impact of CAR on bank capital augmentation in Spain
by Yener Altunbas & Santiago Carbo & Edward Gardener - 519-524 Long-term memory in stock market volatility
by Mike So - 525-532 A variance ratio test of the random walk hypothesis for Taiwan's stock market
by Kuo-Ping Chang & Kuo-Shiuan Ting - 533-542 Dividend initiation announcements effects in initial public offerings
by K. McCaffrey & P. Hamill - 543-552 A market-augmented model for SIMEX Brent crude oil futures contracts
by John Sequeira & Michael McAleer - 553-560 Heteroscedasticity in stock returns data revisited: volume versus GARCH effects
by M. F. Omran & E. McKenzie - 561-571 Security price anomalies in an emerging market: the case of the Athens Stock Exchange
by Andrew Coutts & Christos Kaplanidis & Jennifer Roberts - 573-578 Tests of regimes - switching CAPM
by Ho-Chuan Huang
2000, Volume 10, Issue 4
- 343-350 Are forward premia mean reverting?
by Walid Hejazi & Zhixin Li - 351-360 Exchange risk premia in the European monetary system
by Frederick Nieuwland & Willem Verschoor & Christian Wolff - 361-369 Black and official exchange rates in the Pacific Basin: some tests of dynamic behaviour
by Michael Moore & Kate Phylaktis - 371-377 Forward foreign exchange rates and expected future spot rates
by Christian Wolff - 379-387 Stock returns and real activity: is there still a connection?
by Mathias Binswanger - 389-400 Expected returns and business conditions: a commentary on Fama and French
by Angela Black - 401-412 Asymmetries in the conditional mean and conditional variance in the exchange rate: evidence from within and across economic blocks
by Maria Sophia Aguirre & Reza Saidi - 413-417 Fiscal policy and the term premium in real interest rate differentials
by T. J. Flavin & M. G. Limosani - 419-422 Testing for price bubbles: the case of transition economy
by Maria Garvalova - 423-434 More on the credit channel of monetary policy transmission: an international comparison
by Felix J. Lopez Iturriaga - 435-448 Forecasting UK stock market volatility
by David McMillan & Alan Speight & Owain Apgwilym - 449-459 The P* model and its performance for the Spanish economy
by Vicente Pallardo & Vicente Esteve
2000, Volume 10, Issue 3
- 227-234 Price discovery in strategically-linked markets: the case of the gold-silver spread
by Bahram Adrangi & Arjun Chatrath & Rohan Christie David - 235-242 Day of the week effect in emerging Asian stock markets: evidence from the GARCH model
by Taufiq Choudhry - 243-260 Time varying term premia and risk: the case of the Spanish interbank money market
by M. Dolores Robles Fernandez & Rafael Florez De Frutos - 261-276 Stock market integration and macroeconomic fundamentals: an empirical analysis, 1980-95
by David Dickinson - 277-289 Testing the risk premium and cost-of-carry hypotheses for currency futures contracts
by John Sequeira & MICHAEL McALEER - 291-298 The relative impacts of Japanese and US interest rates on local interest rates in Australia and Singapore: a Granger causality test
by Jordan Shan & Nick Pappas - 299-310 Stock return volatility in thinly traded markets. An empirical analysis of trading and non-trading processes for individual stocks in the Norwegian thinly traded equity market
by P. B. Solibakke - 311-315 Stochastic unit roots modelling of stock price indices
by Robert Sollis & Paul Newbold & Stephen Leybourne - 317-322 Exchange controls and the transmission of equity market volatility: the case of the UK
by P. L. Chelley-Steeley