This paper examines the impact of increased pre-close transparency on the effectiveness of stock closing call. On January 1, 2003, the Taiwan Stock Exchange increases pre-close transparency by disclosing the best five bid and ask prices and related unexecuted orders before market closing. At the...

This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover twelve actively traded commodities including agriculture, metal and energy and four commodity indices. Price discovery is confirmed for eight commodities and three indices with a...

The recent market crises have focused interest on methods to improve the functioning of financial markets. Before implementing new regulations, it is necessary to evaluate the effects of previous regulations. Regulatory changes such as Fair Disclosure have an effect on information dissemination...

This study examines whether the expiration of derivative contracts affects the underlying spot assets in Taiwan. The expiration effect refers to abnormal return, price reversal, abnormal return volatility, and abnormal volume in underlying spot stock markets as derivatives contracts expire. Due...

This study discusses the gradual shift of the Taiwanese government toward deregulation. Using the traditional variance ratio, nonparametric-based variance ratio tests and a rolling variance ratio test, this study examines the impact of liberalization on market efficiency in Taiwan. The results...

This study reports how country risk and macroeconomic conditions influence the wealth gains of U.S. financial firms involved in international mergers and takeovers. The findings suggest that U.S. financials experience weakly significant wealth gains around announcement date. The wealth gains are...

The study tests prominent equity market anomalies for six emerging markets - Brazil, China, India, Indonesia, South Korea and South Africa. We find that using the Fama French model (FFM) as performance benchmark the size anomaly is present in India, South Korea and Brazil, value anomaly in South...

This paper examines the impact of earnings announcements and earnings forecast revisions on stock returns across markets with different levels of maturity. In each market, the objects of interest are the effects of backward-looking earnings announcement information and forward-looking earnings...

In this paper, we identify long-term prior return patterns in stock returns for Brazil, Russia, India, China, South Korea, and South Africa (BRICKS) markets from January 1993 to February 2008. While Brazil, Russia and South Africa report momentum behavior, India, China and South Korea exhibit...

Based on the cost efficiency of individual banks, this paper constructs an indicator to clarify Chinese regional banking system’s credit allocation efficiency in accordance with the panel data of the provinces and central-government-administered cities of China. When applying this...