This paper investigates the trading activities of two distinct classes of shareholders, namely, the Chinese domestic investors and the foreign investors in the segmented Chinese A-share and B-share markets, respectively. Based on the results of our event study, we document prominent volatility...

This paper examines the effect of order imbalance on realized volatility in the Australian stock market for the period between August 2007 and May 2016. To analyse this asymmetric relationship, we decompose order imbalance into buyer- and seller-initiated trades and capture good and bad...

The usefulness of technical analyses has never reached a consensus. Unlike most literature studying stock price behaviors surrounding the presence of technical trading signals, this paper examines the heterogeneity in order submission behaviors of investors in the Taiwan Stock Exchange. Our...

We investigate possible reasons for voluntary delistings by U.S. firms from the Tokyo Stock Exchange from 1982 to 2005. We find that the small shareholder base, as measured by low turnover, for U.S. stocks in Japan helps to explain the voluntary foreign delistings. This finding is consistent,...

We examine the nexus between real foreign exchange rates and international portfolio flows using monthly data for the period 1997:1 to 2009:12 for Egypt, Morocco, Nigeria, and South Africa. We analyze the full sample period and two sub-periods, distinguished by the relative volume and volatility...

The aim of this study is to analyze the potential risk premium inherent in the uncovered interest parity (UIP) condition. The component GARCH-in-mean model is used to measure the time-varying risk premium in UIP and separates the permanent and transitory risks. The results show that the risk...

This study examines a combination of comovement and integration effects on volatility of home cross-listed equities in three Germanic markets (Frankfurt, Zurich and Vienna). Specifically, we investigate the impact of lagged stock prices and lagged futures contracts on asymmetric (bad and good...

This paper studies the optimal asset allocation problem of an investor with a portfolio given by the U.S. risk-free asset and a carry trade benchmark comprising the currencies of the G10 countries. Our optimal strategy is able to adapt to macroeconomic conditions and avoid the so-called crash...

This study examines the impact of the CSI 300 index futures on the underlying spot market in terms of feedback trading model. A univariate AR-GJR-GARCH-M model and a bivariate VECM–GARCH-M model are employed for the analysis. Our research reveals that the CSI 300 stock index futures market...

In this cross-country analysis, we find evidence of a positive relation between creditor rights and the level of corporate cash holdings. In addition, we find that the excess cash motivated by creditor rights has a significant negative impact on firm value. These relationships, however, are...