The main objective of this paper is to test for structural breaks and dynamic changes in emerging market volatility from January 1985 to January 2003. We typically relate these issues to stock market reforms since the latter is often considered as one of the most important forces that promote...

The purpose of this paper is to estimate transaction costs on the Tunisian Stock Exchange (TSE). We will use the methodology proposed by Lesmond, Ogden and Trzcinka (1999). Our study is done on an order-driven market whether the Lesmond and al. study was done on a quote-driven market.The data is...

The aim of this paper is to surround the volatility dynamics on the Tunisian stock market via an approach founded on the detection of persistence phenomenon and long-term memory presence. More specifically, our object is to test whether long-term dependent processes are appropriated for...

This paper presents a new derivation of the Modigliani and Miller (1958, 1963, 1966) propositions using the simple model of capital market equilibrium with incomplete information presented in Merton (1987). The model is used to relate the maximization of stockholder expected utility to the...

This paper investigates the effects of opening and closing on transactions demand, volume, and volatility of options prices and their underlying assets. We use an extension of the models in Merton (1971) as in Brock and Kleidon (1992), who consider a similar issue with respect to equity markets....

This paper presents a simple model in which real exchange risk, the competition between firms in different markets and diversification gains affect corporate international investment. By accounting for the role of information, the model embodies different existing explanations based on economic...