This paper adopts a novel FIVECM-BEKK GARCH approach to examine the bilateral relationships among the A-share and B-share stock markets in China and the Hong Kong stock market. The evidence shows that these stock markets are fractionally cointegrated. Analyses of the spillover effects across...

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first-order stochastic dominance and no arbitrage opportunity...

In the empirical literature, it has been shown that there exists both linear and non-linear bi-directional causality between trading volumes and return volatility (measured by the square of daily return). We re-examine this claim by using realized volatility as an estimator of the unobserved...

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...

This study examines investor herding behavior in Pacific-Basin equity markets. Results indicate that the level of herding is time-varying, and is present in both rising and falling markets. It is positively related to stock market performance, but negatively related to market volatility. Herding...