We examine the effect of Chinese news on announcement drift and investigate its application to portfolio management, applying a linguistic analysis to extract various dimensions of the information content. Our empirical results reveal a positive (negative) relationship between news sentiment and...

This study applies threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment in long-run purchasing power parity (PPP) for both Mainland China and Taiwan during the January 1986 to October 2009 period. Although there is evidence of...

For analyzing the aftermath of the latest global financial crisis, five major variables are used in this study to provide separate measures of the performance of 32 representative investment and commercial banks amongst the world’s 1,000 largest banks, in order to explore the changes in their...

This paper analyses the types of stocks herded by foreign institutional investors (FIIs) with higher positive abnormal returns in the emerging stock markets. Using a panel smooth transition regression (PSTR) model, we demonstrate that the positive price impact of the herd buying patterns of FIIs...