It is a well-known fact that most of the asset returns tend to be skewed and heavytailed. Heavy tailed distributions such as the Student’s t distribution and Stable distribution are commonly used in finance to model asset returns that areheavy tailed. Additionally, Stable distribution allows...

This paper first examines to what extend the most puzzling phenomenon of stock returns momentum, may also concern emerging and little markets, such the Tunisian one, which accounts slightly less than 100 listed securities. The results indicate a pronounced and even stronger momentum effect that...

This paper investigates whether central banks can attenuate excessive mispricing in stocks as suggested by the proponents of a "leaning against the wind" (LATW) monetary policy. For this, we decompose stock prices into a fundamental component, a risk premium, and a mispricing component. We argue...

This paper aims at testing the influence of Subprime Crisis on Chinese stock market returns. By means of newly proposed time series spatial analysis methodology, we investigate the dominance behavior of daily returns on both Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange...

Investors use varies tools in the investment process. Some use technical or fundamental analysis, or both in that process. The aim of the following survey research is first, to examine differences between professional portfolio managers to amateur investors in their approach towards technical...

The purpose of this research is to investigate the weak form of market efficiency of Asian four selected stock markets. We have taken a daily closing price of stock markets under the study from the 1st January 2000 to 31st March 2011 and also divided full sample in three interval periods, and...

Using the multivariate regression methodology, we investigate the short-term effect of September 11, 2001 on US defense firms. Our findings suggest that the market differentiated among US defense firms based on the percentage of defense sales to total sales. In addition, the behaviour of the...

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...