The price of financial assets are, since Bachelier, considered to be described by a (discrete or continuous) time sequence of random variables, i.e a stochastic process. Sharp scaling exponents or unifractal behavior of such processes has been reported in several works. In this letter we...

We analyse co-movements in the fragility of EU banks and verify to which extent such co-movements have increased in time, following, for example, the completion of Monetary Union and the introduction of the euro. To this end, we provide a measure of co-movements in bank risk by means of a...

This paper explores theoretically and empirically the link between Financial Liberalization (FL) and the banking crisis that often follow. We also investigate the proposition, classical in development economics, that FL should result in an increase in supply of funds to the real sector. To...

In this paper we attempt to identify the characteristics of banks that are most likely to be at the origin of a banking crisis following a financial liberalization (FL) process. We do this analysis in response to the observed fact that FL processes arse often followed by banking crisis that cost...

This paper examines the validity of the efficient market hypothesis (EMH) for the foreign exchange market of Papua New Guinea (PNG) using data on spot exchange rates for four major foreign currencies during the recent float. The unit root test results indicate that all the four exchange rates...

This study tests weak and semi-strong form efficiency of the foreign exchange market in Sri Lanka using six bilateral foreign exchange rates during the recent float. Weak-form efficiency is examined using unit root tests while semi-strong form efficiency is tested using co- integration and...

In our model, informed players decide whether or not to disclose, and observers allocate attention among disclosed signals, and toward reasoning through the implications of a failure to disclose. In equilibrium disclosure is incomplete, and observers are unrealistically optimistic. Nevertheless,...

This paper investigates the possibility to analyse the structure of unconditional or conditional (and possibly nonlinear) dependence in financial returns without requiring the specification of mean-variance models or a theoretical probability distribution. <abstract/>The main goal of the paper is to show...

This study examines whether individual investors are the source of post- earnings announcement drift (PEAD). We provide evidence on how individual investors trade in response to extreme quarterly earnings surprises and on the relation between individual investors' trades and subsequent abnormal...