This paper examines the existence and prevalence of investor herding behaviour in a segmented market setting, the Chinese A and B stock markets. It is the first study to detail the difference in herding behaviour across A and B markets. The results indicate that investors exhibit different...

This paper extends the research on investor herds to American Depository Receipts (ADRs). Using daily price data on 305 ADRs traded in US exchanges issued by corporations from 19 countries, we examine herding behavior in the market for ADRs within country and sector-based portfolios. There is...

This paper empirically investigates and provides further support for the oil price effect documented in Driesprong et al. (2008) in the U.S. industry-level returns. We find that oil price predictability is concentrated in a relatively small number of industry-level returns, the relevant measure...

This exploratory paper is among the first to examine the impact of stock exchange mergers on informational market efficiency. We focus on the merger of Bolsa de Valores de Lisboa e Porto (Portuguese Stock Exchange) with Euronext in 2002 (that created Euronext Lisbon). To investigate this...

Are financial markets efficient? There are multiple tests for answering this question. Forming a hypothesis and testing should be done before looking at the data, i.e. without data snooping. However, the parameters used in the tests of the efficient market hypothesis are often not decided...

This paper examines the day-of-the-week effect for the forward premium puzzle. The paper finds that Thursday consistently appears to be a special day on which the deviation from the unbiasedness hypothesis is much less compared to other weekdays across currencies. In addition to Thursday, Monday...

This study investigates the random walk (RW) and the martingale difference sequence (MDS) processes for the Australian dollar and seven Asian currencies relative to three benchmark currencies between 1993 and 2008. We use Kim's (2009) Automatic Variance Ratio (AVR) test for the RW and Kuan and...

This paper empirically investigates market efficiency and trading rule profitability of the Ugandan foreign exchange market for the period January 1994 to June 2012. We test for market efficiency using a battery of variance ratio tests with superior size and power properties. We find that the...

In the current study, we focus on the capital asset pricing model (CAPM) beta and downside betas. The empirical results of market index returns in the international samples of 23 developed countries exhibit significant differences between the CAPM and downside betas, indicating that these models...

This study shows that the learning-by-doing (LBD) effect has substantial consequences for the international transmission of a monetary policy. LDB implies that a country can increase its productivity-increasing skill level by competitive devaluation, which happens at the expense of the neighbour...