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...

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...

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 herding behavior and the connection between herding behavior and investor sentiment. We apply a Cross-Sectional Absolute Deviation (CSAD) approach and the quantile regression method to capture herding behavior in the KOSPI and KOSDAQ stock markets. The analysis results...

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...

This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of sovereign debt. The analysis of...

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...