In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of correlation matrices for four asset classes: equities,...

Exemption from pre-trade transparency on dark platforms enables the prevention of information leakage and a major market impact, thus block traders prefer these platforms to public ones. There are several dark trading facilities: systematic internalisers, crossing networks, etc. In this study, I...

This paper examines the role of financial development in promoting innovation-related activity using panel data for seven East Asian countries for the period from 1998-2009. On overall financial development, we find that, financial sector size and the overall activity of banks and stock market...

There is no consensus in the literature as to which model should be used to estimate stock returns and the cost of capital in the emerging markets. The Capital Asset Pricing Model (CAPM), which is most often used for this purpose in the developed markets, has a poor empirical record and is...

We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation—rescaled range analysis (R/S) and detrended fluctuation analysis (DFA). Even though both methods have been widely applied on different types of financial assets, only several papers have dealt with...

The impact of news from the Moscow and New York stock exchanges on the daily returns and volatilities of Baltic stock market indices is studied. A nonlinear time series model that accounts for asymmetries in conditional mean and variance functions is used for the empirical work. News from New...

Bu makale borsadaki hisse senedi açılış ve kapanış fiyatlarını belirleme manipülasyonunun işleyişini gözden geçirmekte ve bu manipülasyon türlerinin önlenmesi için tavsiye edilmiş stratejik yapılanmaya yönelik önlemleri ele almaktadır. Açılış ve kapanış fiyatlarını...

The recent evolution of the Romanian capital market is characterized by an increase in the market volatility as an expression of investors’ uncertainty about the global financial instability. Thus, the objective of this study is to provide an analytical framework for the analysis of the market...

The main objective of this paper is to investigate the international linkages among local, country-specific stock market factors in order to better understand the dependence structure of increasingly integrated world financial markets. The seeming discordance between Fama and French (1998) and...

We examine the impacts of both domestic and international financial market development on R&D intensities in 22 manufacturing industries in 18 OECD countries for the period 1990–2003. We take account of such industry characteristics as the need for external financing and the amount of tangible...