In this paper, the impact of five recent terrorist attacks on equities listed on the Japanese Stock Exchange is examined. We analyse how these events affect the different sectors in Japan using the Global Industry Classification Standard. Using parametric and non-parametric tests, we investigate...

This paper provides practical insight on the returns generated by momentum strategies in both the physical equity and derivative markets, specifically looking at warrants and options listed in six selected Asian Capital markets, namely (in alphabetical order), Hong Kong, Japan, Korea, Malaysia,...

This article documents seasonal patterns and other characteristics of electricity spot prices in the Australian National Electricity Market (NEM), over a 7-year sample period. The goal is to investigate more specifically the influence of seasonalities and outliers noted in the body of literature...

Purpose – The structure of the Malaysian fund market presents a unique setting in which to examine behavioural and cultural differences in the performance of fund managers. The purpose of this paper is to utilise Taylor's extension of the tournament model of Brown et al. who argued that using...

Purpose – The purpose of this paper is to show that the consequences of terrorist attacks are beyond what is reported in the media. Equity investors can be adversely affected by these incidents. The authors' work justifies the war on terror. Design/methodology/approach – Using event study...

Event study methodology is a well-accepted technique in finance. Although its application is popular, there have not been many critical assessments of this practice. For instance, in the estimation process, the researcher has to make a choice in terms of which asset pricing model to adopt when...

The effects of the Boxing Day tsunami on the world equity markets are investigated in this paper. In particular, this paper examines how the risks and returns of industry and market portfolios are altered as a result of the tsunami. The analysis includes countries that were directly or...