The purpose of this research is to investigate the weak form of market efficiency of Asian four selected stock markets. We have taken a daily closing price of stock markets under the study from the 1st January 2000 to 31st March 2011 and also divided full sample in three interval periods, and...

This paper investigates which factors drive the prepayment of Peer-to-Peer (P2P) lending based on the data collected from Prosper.com. By using the lending data of 50,109 loans between July 2009 and August 2013, we find that higher interest rate and loan amount indicate lower probability that...

We propose a new nonparametric test to identify mutually exciting jumps in high frequency data. We derive the asymptotic properties of the test statistics and show that the tests have good size and reasonable power in finite sample cases. Using our mutual excitation tests, we empirically...

We investigate the effectiveness of several well-known parametric and nonparametric event study test statistics with security price data from the major Asia-Pacific security markets. Extensive Monte Carlo simulation experiments with actual daily security returns data reveal that the parametric...

We revisit the Kolmogorov-Smirnov and Cramér-von Mises goodness-of-fit (GoF) tests and propose a generalization to identically distributed, but dependent uni-variate random variables. We show that the dependence leads to a reduction of the "effective" number of independent observations. The...

This exploratory paper is among the first to examine the impact of stock exchange mergers on informational market efficiency. We focus on the merger of Bolsa de Valores de Lisboa e Porto Portuguese Stock Exchange) with Euronext in 2002 (that created Euronext Lisbon). To investigate this question...

This article employs six techniques and tools such as chart analysis, chart recurrence, space temporary entropy, Hurst coefficient, Lyapunov exponent and dimension correlation on the copper, gold, oil, silver, zinc, aluminum, nickel, and lead return series to corroborate the existence of a...