Stock market integration of mainland China is analyzed before and after the liberalization of Chinese stock exchange segments. We apply a causalityin-variance procedure, using four mainland China stock market indices, two indices of the stock exchange in Hong Kong and the Dow Jones Industrial...

We investigate the effects of fragmentation in equity trading on the quality of the trading outcomes, specifically volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the period 2008-2011, which provides a lot of cross-sectional...

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

We estimate the Dollar exposure of German DAX corporations. Our results are based on a new time-variant, APT-based and panel econometric extension of the exchange-rate exposure model in the tradition of Adler and Dumas (1984) and Jorion (1990). Our stock market data consist of 28 performance...

This article analyses value changes of German stock market companies in response to movements of the US dollar. The approach followed in this work extends the standard means of measuring exchange rate exposure in several ways (e.g. by using multi-factor modelling instead of augmented CAPM,...

In the present paper it will be shown that in country level economic growth has a positive impact on stock prices in the long run. This study refers annually to the Western Europe, Japan and the United States during the period 1999-2007. Therefore, any factor favoring economic growth should be...

Using data for forty markets, this paper examines the nature and possible causes of time-variation within the stock return-dividend yield predictive regression. The results in this paper show that there is significant time-variation in the predictive equation for returns and that such variation...

This paper modeled the effects of firms' fundamentals such as total assets and long-term debt and of macroeconomic variables such as unemployment and interest rates on quarterly stock prices of over 3000 U.S. firms in 2000-07. The merged CRSP/Compustat database was augmented by macroeconomic...