Opacity fosters price contagion that exacerbates the speculative cycles of bubbles and crashes that create financial instability. We find that banks with larger investments in opaque assets benefitted more from intra-industry revaluations associated with announcements of mergers in the period...

This work provides a comprehensive study of the January 2008 stock market downturn and its impact on DAX index. We find three possible causes of the crash: adverse economic news, technical trading signals and possible market manipulation (by SocGen). We find strong interdependencies among world...

We use intraday stock index return data from both sides of the Atlantic during overlapping trading hours to analyze the dynamic interactions between European and US stock markets. We are particularly interested in differences of information transmission before, during, and after the financial...

We develop a novel financial market model in which the stock markets of two countries are linked via and with the foreign exchange market. To be precise, there are domestic and foreign speculators in each of the two stock markets which rely either on linear technical or linear fundamental...

The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

The presence of seasonal effects in monthly returns has been reported in several developed and emerging stock markets. The objective of this study is to explore the interplay between the month-of-the-year effect and market crash effects on monthly returns in Indian stock markets. The study uses...

We examine the effects of the short selling ban, imposed by Australian regulators in the wake of the global financial crisis, on trading of financial stocks. Unlike other developed markets, where regulators imposed short-selling restrictions for brief periods of time at the height of the...

This paper applies the MV criterion, CAPM statistics, and the modified stochastic dominance tests to examine the stochastic dominance (SD) relationship between the spot and futures markets in Malaysia and investigates the preference of these markets for risk averters and risk seekers before...

This paper investigates the relationship between negative news in financial newspapers and stock markets in times of global crisis, such as the 2008/2009 period. We analyzed one year of front page banner headlines of three financial newspapers, such as the Wall Street Journal, Financial Times,...