This study applies a threshold autoregressive (TAR) model to monthly stock prices for three South Asian countries over the period from 1991:01 to 2009:09. Two main conclusions are drawn. Firstly, the results indicate that all the stock prices in this study exhibit non-linear behavior. Secondly,...

In this paper we explore the effects of corruption on financial sector performance for a sample of 38 developed and developing economies for the period 1995-2005. Using system-GMM technique our results demonstrate that corruption undermines the efficacy of a developed financial sector....

The present work investigates predictable components in size-based and value-weighted market portfolios excess returns from NYSE, AMEX, and NASDAQ stocks over US Treasury bills using various Gaussian and non-Gaussian versions of state space or unobserved components models. Our state space or...

To challenge the appropriateness of the theory of the weak-form market efficiency, this study examines the day-of-the-week effect and the twist-of-the-Monday effect for the ASEAN – 5 stock markets for the period June 10, 2002 through August 21, 2009. Our Kruskal-Wallis statistic test...

This note investigates the effect of the German governments' decision to suspend the cultivation of genetically modified maize on the stock returns of involved companies. Moreover, the first announcement to investigate a ban as well as a court decision rejecting Monsanto's lawsuit against the...

The traditional continuous and smooth models, like the GARCH model, may fail to capture extreme returns volatility. Therefore, this study applies the bivariate poisson (CBP)-GARCH model to study jump dynamics in price volatility of crude oil and heating oil during the past 20 years. The...

The aim of this paper is to study macro aspect of the virulent impacts of the 2008 financial crisis on Asian developing economies. To do this, we apply the Pedroni panel co-integration technique developed to examine the long-run relationship between economic growth, exports and inward FDI on a...

This study examines the effects of market and industry factors on returns of common stocks traded on the Istanbul Stock Exchange (ISE) in Turkey. Of the common stocks listed on the Istanbul Stock Exchange, 142 were listed continuously from December, 1996, through December, 2001. The common...

Using proprietary audit trail transaction data compiled by the Commodity Futures Trading Commission, we investigate, at the individual trader level, (1) the timing and (2) the determinants of dual traders' personal trades. Our analysis reveals an absence of any trade timing by dual traders in...

Although the assumption in the financial press is that fluctuations in the price of oil affect stock market prices, empirical evidence of the impact of these fluctuations on stock returns has been mixed. Unlike other empirical studies, which have focused largely on broad market indices (national...