It has been argued that the lack of transparency on the London Stock Exchange, caused by the practice of delaying publication of large trades, has adverse consequences for the market in traded share options on LIFFE. This hypothesis is investigated in two ways. First, the structure of equity...

This paper investigates whether stock-price indices of seventeen emerging markets can be characterized as random walk (unit root) or mean reversion processes.

Intervention by the Reserve Bank of Australia on foreign exchange markets from 1993 to 1997 is conjectured to have been determined by exchange rate trend correction, exchange rate volatility smoothing and profitability considerations. Using Probit and friction models, we show that these factors...

Stock prices in emerging economies move in step much more than in advanced economies. Emerging markets' prices capitalize less firm specific information, and appear subject to more economy-wide fluctuations. Measures of this consonance of stock returns are positively correlated with indicators...

We examine the domestic stock price response to foreign capital issuance by Indian firms. Firms have extensively used foreign equity and convertible foreign debt sources since 1994. The role of foreign investment bankers, size of the issue, firm's growth opportunities, and other factors are...

One of the great unknowns in international finance is the process by which new information influences exchange rate behavior. Until recently, data constraints have limited our ability to examine this issue. The Olsen and Associates high-frequency spot market data greatly expand the range of...

The authors test for saeasonal effects in stock market returns, the January effect anomaly and the tax-loss selling hypothesis using monthly stock returns in eighteen emerging stock markets for the period 1987-1995.Even though considerable evidence for seasonal effects applies in several...

We implement an agent-based financial market model simulation in which agents follow technical and fundamental trading rules to determine their speculative investment positions. We consider direct interactions between speculators due to which they may decide to change their trading behaviour....

A 20. század végi elméleti közgazdaságtan egyik kiemelkedő kutatási területe a hatékony piacok elmélete, amely a hetvenes évektől kezdve vált a pénzügyi közgazdaságtan megkerülhetetlen részévé. Már a nyolcvanas évek közepétől azonban támadások, empirikus cáfolatok...

The new regulatory environment triggered by MiFID has resulted in a transformed competitive landscape and increased fragmentation among execution venues in Europe. One key component of MiFID is best execution, i.e. investment firms are obliged to achieve the best result for customer orders on a...