This paper provides an empirical investigation of cross-listing's implications for companies and stock exchanges in the newly-established capital markets in Central Europe. We find that companies experience a permanent value enhancement, and cumulative abnormal returns reach a strongly...

This paper examines individual investors' trading behaviour by testing the presence of Monday and January anomalies on the Polish futures market, where individuals are the predominant trader type. Both anomalies are well established in the literature, and they are at least partially attributed...

This paper contributes to the debate about the relative qualities of floor and electronic trading systems by analysing the effects of bringing forward the Xetra closing time from 8:00 pm to 5:30 pm in November 2003, while the Frankfurt floor remains open until 8:00 pm. This natural experiment...

In this paper, we investigate the effect of institutional investors on the January stock market anomaly. The Polish and Hungarian pension system reforms and the associated increase in investment activities of pension funds are used as a unique institutional characteristic to provide evidence on...

Contrary to previous findings stressing the agency problem of UK conglomerates, we provide evidence that corporate diversification in the UK is beneficial for shareholders. We show that previous results relying on the standard pooled OLS technique are bias caused by the endogenous...

In this paper, we investigate the relationship between stock returns and short-term interest rates. Identification of the stock return-interest rate relation is solved by using a newtechnique that relies on the heteroskedasticity of shocks to stock market returns. We suggest some improvements to...

In this paper, we contribute to the literature on institutional herding and positive feedback trading by analysing the investment behavior of pension funds on the Polish stock market. Since pension funds in Poland operate under more stringent investment regulation than their counterparts in...

This paper investigates contagion to European capital markets associated with seven big financial shocks between 1997 and 2002. We apply a technique using heteroscedasticity adjustedcorrelation coefficients to discriminate between contagion and interdependence. The analysis focuses on a...

In this paper, we provide further empirical evidence on the relationship between political cycles and stock returns. While previous empirical results on the Democrat premium and the presidential cycle effect are limited to the US, we investigate both anomalies using an international dataset...

In this paper, we extend the empirical finance literature on the influence of institutional traders by investigating the impact of Polish pension funds trading on individual stock return autocorrelation. The pension reform in 1999 and the associated increase in institutional traders' investment...