This paper estimates the slope of the yield curve using quarterly data on real GDP and the nominal spread proxied by the difference in returns from the 10 year bond rate and the 90 day bill rate. The time-series analysis after proper unit root tests using stationary variables revealed that the...

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient...

This study examines stock market contagion from the United States to the markets of the GCC countries during the period 2007-08. These countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates) were also experiencing accelerating debt levels, overheated real estate...

This study set out to draw a pricing comparison between two similar contracts in the South African derivatives market. These contracts, a normal option and a warrant on the same underlying stock are considered. The research shows that although the two derivatives are the same in all respects,...

The purpose of this study is to analyze the effect of right issue to the stock price and trading volume of shares in the company's large size and small size companies in companies listed in Indonesia Stock Exchange Period (2007-2009). The problem in this study is whether the announcement effect...

The rapid growth of OBSA in recent years has concerned bank regulators that such OBSA are risk-increasing and should be brought under control throughadditional capital requirements. Previous empirical literature tested the riskiness of certain OBSA by employing systematic or total risk as...

The efficacy of the 2001 and 2003 Bush tax cuts was a major topic of discussion in the 2010 midterm elections. I investigate the effect of the possible expiration and eventual extension of the dividend tax cut on US stock market performance in 2010 based on the methodology used by Amronin,...

The purpose of this study was to determine whether publicly disclosed violations by U.S corporations, resulting in convictions or settlements, erode shareholder investment in the offending organizations. This study was designed to assess whether or not the shareholders' reactions to...

This paper analyzes stock index reactions to interest rate actions by the FOMC. Unlike previous analyses this study utilizes macro-economic indicators and accounts for pre-decision market expectations. Results indicate significant reaction of the stock market to the actions of the FOMC...