The purpose of this paper is to investigate the weak form of market efficiency, based on the concept of mean-variance analysis. The investigation initiates with an appraisal of the prediction of future closing prices from past closing prices from a sample comprising the stock of 79 enterprises...

Previous studies find mixed results on the relation between exchange rate movements and stock returns. We revisit the issue by exploring the effect of market efficiency and heterogeneous investors' reaction to exchange rate changes using the unique event of Chinese currency appreciation. Our...

Simple but serious books have an important role to play. So Krugman’s book on ‘depression’ is very welcome. The emphasis of this book is on unemployment (and distribution more generally, including high compensation for finance ‘experts’). The analysis is...

The issue of corporate exposure to exchange rate risk of is well researched in the international finance literature, but less approached in the case of emerging markets.

This paper re-examines the standard ‘unbiasedness’ hypothesis in foreign exchange markets, according to which the forward premium should be an unbiased predictor of the future change of the spot exchange rate. If traders are heterogeneous, they may consist of ‘fundamentalists’ who...

This paper undertakes an empirical analysis of the existence of psychological barriers in the dollar/DM and the dollar/yen exchange markets. Psychological barriers occur when agents attach some special importance to the last trailing digits of the price of an asset or a currency. Our empirical...

In this study, we attempted to determine whether a relationship exists between stock returns and the weather variables of temperature, humidity, and cloud cover in the Korean stock market. We delineated three key implications with regard to weather effects. First, after the 1997 financial...

Based mainly on secondary research analysis this case study tracks down foreign exchange risk as exposure during the recent financial crisis (March 2007 to February 2010). The author picked up a value of 100,000 traded by a Cypriot SME importer with a local bank on a monthly basis under either a...

Czarnitzki and Stadtmann (2005) measure the interdependence of demand for investment advice (approximated by sales of investor magazines) and stock prices. They find strong evidence that confirms the presence of the disposition effect, i.e. the empirical observation that investors sell winners...

The 2007 global financial crisis led to a chaotic financial environment characterized by highly uncertain and volatile stock markets. This created additional uncertainty about the fundamental value of shares and potentially increased the benefit of inside information. In this paper, we use event...