This article examines the relation between average holding periods, stock illiquidity and investors' disposition effects in the Chinese stock markets between 1996 and 2003. The results show that Chinese investors' holding periods are longer for illiquid stocks and are inversely associated with...

This paper analyses the impact of foreign currency exposure on the value of the New Zealand public listed companies using the New Zealand/US exchange rate and Trade Weighted Index factor return. Augmented market model (Adler and Dumas, 1984; Di Iorio and Faff, 2000; Dominguez and Tesar, 2001) would be...

This study examines the behavior of financial contagion within the New Zealand stock market. The degree of financial contagion is measured by the coincidence of extreme stock returns. The extent of the effect and its economic significance are examined using the multinomial regression. The...

This paper provides a synthetic view of the capital account liberalization, capital control and currency convertibility issues in China. A quantitative analysis following Henry's study fails to provide clear links between liberalization, diminishing capital controls and Chinese stock market...