In this study, we used event study methodology to examine stock price reactions to quarterly earnings announcement. The study is based on a sample of 146 companies listed on Bombay Stock Exchange and December 2000 quarterly earnings announcements are taken event. The abnormal performance is...

The purpose of this study is to find out the impact of political general elections of Pakistan on KSE-100 index. We employed Event study methodology on closing prices of KSE-100 index over the time period January, 1998 to May, 2013. During our sample period, 3 events of political general...

This study attempts to illustrate the contributing factors for different patterns of crashes. In addition to the fundamental macro-economic factors, this paper argues that the existence of herding behavior as well as the level of investor attention are also important factors affecting the...

The purpose of this study is to examine patterns of price limit hits for stocks listed on the Tokyo Stock Exchange. Explanations are provided for the empirical findings and the extent to which the price limit hit patterns are related to existing stock returns patterns. We argue that if patterns...

This paper investigates for the first time the effects of oil demand shocks and oil supply shocks on stock order flow imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are able to explain almost 36% of the observed...

Recent studies suggest that momentum returns are conditioned by market states, but we find that China is different. First, we find that momentum returns in China exclusively follow DOWN markets contrary to the U.S. evidence. Second, the absence of momentum returns following UP markets in China...

We scrutinize China, Hong Kong, Indonesia, Japan, Malaysia, Philippines, South Korea, Taiwan, and Thailand for the presence of rational bubbles by employing several tests on a large dataset that includes three bubble episodes. We also convert most tests into recursive to overcome structural...

This paper investigates the relationship between exchange rates and stock markets for 4 East-European countries, using a sample of 3,500 daily returns during the period 2000-2014. The research method used is Bayesian VAR for the solution of degrees of freedom specific to the VAR technique and...

We apply well-studied factor strategies from the U.S. equity anomalies literature to Chinese A-shares, demonstrating which factors have worked and which have not over the last two decades since the opening of China's stock markets. We find while a number of traditional factors like value and...

Studies of cross-listings show home markets dominate price discovery and point to informational advantages of local investors. However, we show price discovery gravitates to markets with better order execution quality and find home markets do not dominate price discovery. Instead, price...