Under the influence of the western world, the solar New Year celebration seems to have fascinated everyone in Taiwan with the lunar New Year festivity showing much less vigor. This paper examines the impact of the solar and lunar New Years on the stock market of Taiwan, showing that the lunar...

This study empirically examines the independent effects of stock market and banking sector development on economic growth in Nigeria over the period 1981-2014 using the autoregressive distributed lag (ARDL) approach to co-integration analysis. Controlling for the possible effects of crude oil...

The poor use of innovations for financial service delivery among African banks has limited the extent of financial development in the continent. Consequently, financial authorities seeks for a technology-enabled financial solution; an area not well covered in literature. This study therefore,...

In this paper, the role of the reference-dependent preference in the relationship between idiosyncratic volatility and future return was investigated in the Korean stock market from July 1990 to June 2018. The capital gains overhang was used as a reference point for a definition of the loss and...

The purpose of this paper is to analyse the predictability of earnings information before the quarterly disclosure date. Two categories of firms are contrasted: the firms that announce better quarterly earnings than the prior period and the firms that do not. The paper uses a sample of 67...

In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars. Specifically, we investigate Monday effect, Friday effect, January effect and Ramadan effect, from January 2009 to December 2019, using OLS...

This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures using Autoregressive Distributed-lag (ARDL) Bounds Testing Approach. We consider depth, breadth, tightness, immediacy and resiliency dimensions of market liquidity using suitable...

We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...

The Black’s leverage effect hypothesis postulates that a negative stock return innovation increases the financial leverage of a firm since the value of equity decreases at a given level of debt, which, in turn, creates a higher equity return volatility in the future. The paper is aimed at...

In this paper, we develop and examine a simple interactive agent‐based model, where the distribution of returns generated from the model takes into account two stylized facts about financial markets： fat tails and volatility clustering. Our results indicate that the risk tolerance of...