This study examines mean and volatility linkages between the UK domestic and Europound interest rates during the 1983-2002 period. Recursive cointegration analysis identifies a structural break in the long-run relationship between the domestic and Europound rates around the September 1992...

This study examines long-run relationships and short-run dynamic causal linkages among the US, Japanese, and ten Asian emerging stock markets, with the particular attention to the 1997-1998 Asian financial crisis. Extending related empirical studies, comparative analyses of pre-crisis, crisis,...

This paper examines linkages among six major European government bond markets (Germany, France, Italy, UK, Belgium and the Netherlands) during 1988-2003. There is weak evidence that a stable long-run relationship exists among the six markets during the sample period. Granger causal linkages are...

Interest rate swaps are the most popular financial derivatives used by US firms. In this paper, the effects of swap usage on corporate financing decisions are empirically examined. Based on a dynamic capital structure theoretical model, a seemingly unrelated regression model with a...

This study examines dynamic linkages among nine European public real estate markets, with particular attention to the impact of the recent establishment of the European Economic and Monetary Union (EMU). Forecast error variance decomposition results show that the real estate markets of larger...

This paper examines high frequency stock returns with buy/sell signals. It demonstrates how such trading information could be utilized in a qualitative threshold framework to explain and predict the asymmetric behaviour of intraday stock returns. The study discovers that the buyer-dominating...