Using a new weekly blue-chip index, this paper investigates the causes of stock price movements on the London market between 1823 and 1870. We find that economic fundamentals explain about 15 per cent of weekly and 34 per cent of monthly variation in share prices. Contemporary press reporting...

A curious seasonal anomaly found in finance is the turn of the month effect, where the daily mean return of stock market at the end of a month and beginning of a month is significantly higher than the average daily return of all the days of a month. There have been evidences that certain months...

This paper examines what institutional and bank-specific factors determine bank stock price synchronicity. Using data on 37 countries from 1996–2007, we find that bank stocks are more aligned with the whole market during the financial crisis; in countries that have more credit provided by...

This paper examines the impact of national culture on herding behaviour across international financial markets. The relation between national culture and investor behaviour, and how it impacts overall market volatility is studied by examining synchronized stock price movements and stock market...

The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

We analyze the effectiveness of government policies aimed at shoring up banks' financial conditions during the 2008-2009 financial crisis. Governments injected into troubled institutions massive amounts of fresh capital and/or guaranteed bank assets and liabilities. We employ event study...

The twenty-first century may well be the time when the balance of power shifts to Brazil, Russia, India and China, nations collectively referred to as BRICs economies. These nations constitute the shape of the future, giving rise to a new world economy. Leaders in BRICs are frenetically laying...

We use the demise of silver-based standards in the 19th century to explore price dynamics when a commodity-based money ceases to function as a global unit of account. We develop a general equilibrium model of the global economy with gold and silver money. Calibration of the model shows that...

This paper demonstrates that measures of stock price synchronicity based on market model R2s are predictably biased downwards as a result of stock illiquidity, and that previously-employed remedies to correct market model betas for measurement bias do not fix R2. Using a large international...

In this study, the causal relationship between the fastest growing emerging countries (Emerging 7) stock markets is discussed. In the study, Turkey, India, Indonesia, China, Mexico, Brazil, and the Russian stock market indexes are taken into causal relationship with each other. As analysis...