This paper examines herding behavior in global markets. By applying daily data for 18 countries from May 25, 1988, through April 24, 2009, we find evidence of herding in advanced stock markets (except the US) and in Asian markets. No evidence of herding is found in Latin American markets....

This paper examines the effectiveness, cause and impact of price limits by comparing cross-listed Chinese stocks in China (A shares), Hong Kong (H shares) and New York (N shares). Price limit is found to have some effectiveness in preventing price continuation, but is ineffective in that the...

This paper presents a novel thermodynamic analysis tool, the energy-flow framework diagram (EFD), and proposes a new method called the EFD graphic analysis method. It is a visual method of energy analysis and integration and is fairly convenient to analyze variety of complicated information,...

Using the first and second laws of thermodynamics, we describe an effective analysis of exergy loss for energy conversion in chemical or power-generation systems and explain the energy-utilization diagrams which are generated by a graphic simulator. Two types of advanced LNG powerplants, the...

A loop of chemical reactions is introduced to reduce the exergy loss caused by the conversion of fuel energy to thermal energy in conventional LNG powerplants. By applying this chemical loop and the graphic simulator which generates energy-utilization diagrams, a new gasturbine power-generation...

This paper constructs a multivariate model in relating multi-asset excess returns to their conditional variances. Applying weekly data to investigate the foreign-exchange risk premium, the evidence from a multivariate GARCH model shows that the foreign-exchange excess returns are significantly...

Built on a consumption-based capital asset pricing model, this paper presents a coherent theoretical framework from which the main international parity conditions are derived. These conditions represent market equilibria characterized by the equality of gross returns after adjustment for risk...

This paper examines the dynamic correlation structure between A-share and B-share stock returns based on three different measures of correlation coefficients. Testing the models by employing daily stock-return data for the period from 1996 through 2003, we reach the following empirical...

Scaling, phase distribution and phase correlation of financial time series are investigated based on the Dow Jones Industry Average (DJIA) and NASDAQ 10-minute intraday data for a period from Aug. 1 1997 to Dec. 31 2003. The returns of the two indices are shown to have nice scaling behaviors and...

Empirical tests are performed to examine whether foreign exchange excess returns for the British pound, Canadian dollar, Deutsche mark, and Japanese yen are related to volatility in the currency market and volatility in the stock markets. Our results indicate that volatility (measured by...