Purpose – The purpose of this paper is to shed light on the causes of the 2007-2009 mortgage crisis, liquidity crisis, stock market volatility in the USA and their spillover effects on the global economy. Design/methodology/approach – The paper critically reviews the 2007-2009 financial...

Purpose – The purpose of this paper is to shed light on the causes of the 2007‐2009 mortgage crisis, liquidity crisis, stock market volatility in the USA and their spillover effects on the global economy. Design/methodology/approach – The paper critically reviews the 2007‐2009 financial...

Purpose – Negative relationship between the return of a stock and its liquidity suggests that the illiquid stocks are riskier than liquid stocks. Thus, researchers tend to include the stock liquidity as a variable in asset pricing models, where the stock and market liquidities are usually...

Purpose – The purpose of this paper is to reinvestigate the performance of common stock returns with respect to two popularly known firm level characteristics: size and book-to-market ratio. Design/methodology/approach – All of New York Stock Exchange, American Stock Exchange, and National...

Purpose – Negative relationship between the return of a stock and its liquidity suggests that the illiquid stocks are riskier than liquid stocks. Thus, researchers tend to include the stock liquidity as a variable in asset pricing models, where the stock and market liquidities are usually...

Purpose – The purpose of this paper is to reinvestigate the performance of common stock returns with respect to two popularly known firm level characteristics: size and book‐to‐market ratio. Design/methodology/approach – All of New York Stock Exchange, American Stock Exchange, and...

Purpose – In this paper, the aim is to investigate the tail behavior of daily stock returns for three emerging stock in the Gulf region (Bahrain, Oman, and Saudi Arabia) over the period 1998-2005. In addition, the aim is also to test whether the distributions are similar across these markets....

Purpose – There are several studies that investigate evidence for mean reversion in stock prices. However, there is no consensus as to whether stock prices are mean reverting or random walk (unit root) processes. The goal of this paper is to re-examine mean reversion in stock prices....

Purpose – To investigate the performance of moving average trading rules in an emerging market context, namely that of the Jordanian stock market. Design/methodology/approach – The conditional returns on buy or sell signals from actual data are examined for a range of trading rules. These...

Purpose – This paper's aim is to test for the presence of fractional integration, or long memory, in the daily returns of the Portuguese stock market using autoregressive fractionally integrated moving average (ARFIMA), generalised autoregressive conditional heteroskedasticity (GARCH) and...