Purpose of this paper - The current paper aims to analyze the impact of the debt crisis on the FTSE / ASE 20 index volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the seasonality returns (Day-of-the-Week effect) and the...

In this study we investigate how bankruptcy affects the market behaviour of prices of stocks on Warsaw’s Stock Exchange. As the behaviour of prices can be seen in a myriad of ways, we investigate a particular aspect of this behaviour, namely the predictability of these price formation...

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

Die Anteile fluktuierender erneuerbarer Stromerzeugung aus Windkraft- und Photovoltaikanlagen steigen in Deutschland und Europa. Ein effizienterer Handel dieser erneuerbarer Energien erfordert flexible Strommärkte. Hierbei können Auktionen einen effizienteren Handel ermöglichen, unter anderem...

Under the influence of the western world, the solar New Year celebration seems to have fascinated everyone in Taiwan with the lunar New Year festivity showing much less vigor. This paper examines the impact of the solar and lunar New Years on the stock market of Taiwan, showing that the lunar...

Background: In the past couple of years, China's futures exchanges have launched nighttime trading sessions. Methods: We use daily data from 23 commodity futures to investigate the impact of this important policy change. Results: Our findings suggest that the launching of nighttime trading...

This paper estimates the short-run performance of IPOs issued on the Karachi Stock Exchange in Pakistan. The present study extends the existing literature concentrating on the degree of underpricing over a 3-month period lasting from the listing date to the 3-month anniversary showing...

The KOSPI (Korea Composite Stock Price Index) 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) the...

In this study, we investigate the existence of long-term co-movements among the prices of commodity futures contracts. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long-term relationship among agricultural and among...

This research examines the long-run Initial Public Offerings (IPO) stock performance of a large Chinese sample, and in particular the relationship between initial reserves (capital reserves and revenue reserves immediately after the IPO) and long-run IPO stock performance. In general, Chinese...