The European Union's Markets in Financial Instruments Directive (MiFID), that will be implemented by October 2007, significantly modifies the regulation of the European securities industry. It will allow, among other things, investment firms to act as systematic internalizers. A systematic...

We document empirical support for the 'house money' effect proposed by Thaler and Johnson (1990). Market makers for Taiwan' TAIEX index options tend to take above-average risks in afternoon trading after above-average morning gains. The fraction of market makers with better-than-average morning...

We study the evolution of global equity market integration using US dollar denominated iShares. Designed to mimic the movements of MSCI indices, these securities provide an easy pool of international diversification products for the investor. As such they allow us to conduct an analysis of the...

We examine the relationship between Russian and other Central and Eastern European equity markets over the 1995-2004 period. Using traditional Johansen and Juselius multivariate cointegration approaches and examining Impulse Response Functions from VECM's we find that the extent of the...

This study investigates individual investors' bias towards nearby companies. Using data from a large U.S. discount brokerage, we find that individual investors tend to invest in companies closer to them relative to the market portfolio. Unlike Coval and Moskowitz's (1999) findings on...

We use semi-parametric bin tests, regression analyses and copula modeling techniques to identify the relationship between temperature and stock market returns. After examining 25 international stock markets, we find that the negative correlation is statistically significant in individual...

For the poor, finance is always about much more than economics. In practical as well as philosophical terms it is a matter of basic human rights. As the dust begins to settle on the global financial crisis it is certain that all economies will suffer, but it is in the poorest, least developed...

The empirical failure of the uncovered interest rate parity condition seems to be the reflection of risk premia on foreign currencies. After the formation of foreign currency portfolios according to interest rate differentials or forward discounts, recent studies suggest that either consumption-...

In this paper, we develop and experiment an intensity based multi-factor model, which incorporates the joint modelling of default, prepayment and recovery risks. In this way, the model provides a link between the credit default swap (CDS) and the loan-only credit default swap (LCDS) markets. The...

This paper provides an overview of the most important structured finance instruments in the context of the development of the financial turmoil that started in the third quarter of 2007 and continued into 2008. These financial market tensions were triggered by concerns about exposures of...