Black and official foreign exchange rates have co-existed for many years in a number of major Pacific Basin countries. In this paper, a framework is developed for examining the relationship between the two types of exchange rates in the cointegration and error correction context for both the...

The paper examines whether location of trade matters in the pricing of internationally listed securities by examining the price dynamics of stocks listed on the Greek and the two German stock exchanges, Frankfurt and Berlin. Through the investigation of the various possibilities of short-run and...

Autoregressive conditionally heteroscedastic (ARCH) and generalized ARCH (GARCH) models are applied to foreign currencies that are traded in both official and black markets using monthly rates in a group of Pacific Basin countries. It is shown that (i) in contrast to the observation of other...

The study examines the effects of security transaction tax on volatility. It focuses on whether the tax has a greater effect on highly traded stocks since it penalizes entering and exiting the market and on whether it depends on the state of the stock market. The results highlight the...