We examine the impact of monetary policy actions on the returns of investment companies. We observe that an expansionary monetary policy action increases the returns of investment companies, while a contractionary policy action depresses the returns. We observe that monetary policy actions have...

This paper examines two stylized regularities in currency futures traded on the International Monetary Market. Short horizon returns (weekly and monthly) sampled over the period 1984-1994 exhibit significantly positive autocorrelations at moderate lags. The pattern of autocorrelations in returns...

This paper investigates the interdependence and dynamic linkages between the emerging capital market of Sri Lanka and the markets of its major trading partners (Taiwan, Singapore, Japan, South Korea, Hong Kong, India, and the US) using the vector autoregression (VAR) technique. No significant...

This paper studies intraday returns and variations in trading activity in the interest rate futures traded on London International Financial Futures Exchange. The intraday volume exhibits a significant asymmetric response of volume to price changes. This relationship is dynamic as the direction...

Liquidity is an important attribute of an asset that investors would like to take into consideration when making investment decisions. However, the previous empirical evidence whether liquidity is a determinant of stock return is not unanimous. This dissertation provides a very comprehensive...

The purpose of this paper is to examine the linkage between FDI and trade in the case of Vietnam. To investigate this issue, firstly, we attempt to find out the causality relationship between FDI and trade of Vietnam, including exports and imports. Secondly, we try to find out the determinants...

We study the relative positions of M1 and M2 in light of their relationships with four U. S. equity exchanges: S&P500, Dow Jones Industrial, Nasdaq, and Wilshire 5000 composite. It is demonstrated that a long-term equilibrium relationship does indeed exist. Short-run dynamics are also considered...