Similar Search Results

The consequences of online information dissemination on stock market liquidity and efficiency: Implications on African markets

Mlambo, Chipo; Biekpe, Nicholas - Volkswirtschaftliche Fakultät, … - 2003

From the Efficient Market Hypothesis, a market is efficient if security prices fully and correctly reflect all available information that is relevant for the stock’s pricing. This requires a medium of information dissemination and transaction ordering with both speed and accuracy. This paper...

Persistent link: https://www.econbiz.de/10008685524

Comovement revisited

Kasch, Maria; Sarkar, Asani - Federal Reserve Bank of New York - 2011

We find, unlike earlier studies, that there is no rise in the market betas of stocks that enter the S&P 500 index when the estimated factor model is that of Fama and French (1993). We also find that SMB and HML factor betas decline after the stocks are added to the index. This decline is...

Persistent link: https://www.econbiz.de/10008862221

Explanatory Factors for Trading Volume Responses to Annual Earnings Announcements: Evidence from the Korean Stock Market

Choi, Jong-Seo; Choe, Chongwoo - Department of Economics and Finance, La Trobe Business … - 1996

This study provides empirical evidence regarding the effect of annual accounting earnings announcements on investors' trading behaviour in the Korean Stock Market.

Persistent link: https://www.econbiz.de/10008867872

Optimal Executive Compensation: Bonus, Golden Parachutes, Stock Ownership and Stock Options

Choe, Chongwoo - Department of Economics and Finance, La Trobe Business … - 1999

This paper studies optimal managerial contracts applying both complete and incomplete contracting approaches. In a complete contracting environment where contracts can be based on earnings, an optimal contract is interpreted as a combination of base salary, golden parachute and bonus. When...

Persistent link: https://www.econbiz.de/10008867956

Extracting Formations from Long Financial Time Series Using Data Mining

Karagianni, Stella; Sfetsos, Thanasis; Siriopoulos, Costas - In: Brussels Economic Review 53 (2010) 2, pp. 273-293

Technical analysis has become a custom decision support tool for traders and analysts, though not widely accepted by the academic community. It is based on the identification of a series of well-defined formations appearing over irregular intervals. The same principle forms the basis for the...

Persistent link: https://www.econbiz.de/10008873426

Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe

Fedorova, Elena; Saleem, Kashif - In: Czech Journal of Economics and Finance (Finance a uver) 60 (2010) 6, pp. 519-533

The purpose of this study is threefold. First, we look at the linkages between Eastern European emerging equity markets and Russia. Second, we investigate the relationships between the currency markets of Poland, Hungary, Russia, and the Czech Republic. Finally, we examine the interdependence...

Persistent link: https://www.econbiz.de/10008876452

Additions to Market Indices and the Comovement of Stock Returns Around the World

Yafeh, Yishay; Claessens, Stijn - International Monetary Fund (IMF) - 2011

Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firmsâ€™ returns experience an increase in comovement with the rest of the index, reflected in higher beta and greater explanatory power of the market return....

Persistent link: https://www.econbiz.de/10008876599

Growth From International Capital Flows; The Role of Volatility Regimes

Murshid, Antu Panini; Mody, Ashoka - International Monetary Fund (IMF) - 2011

Recent commentary has downplayed the growth dividend from international financial integration, highlighting the …

Persistent link: https://www.econbiz.de/10009019578

Financial Cycles; What? How? When?

Terrones, Marco; Kose, M. Ayhan; Claessens, Stijn - International Monetary Fund (IMF) - 2011

This paper provides a comprehensive analysis of financial cycles using a large database covering 21 advanced countries over the period 1960:1-2007:4. Specifically, we analyze cycles in credit, house prices, and equity prices. We report three main results. First, financial cycles tend to be long...

Persistent link: https://www.econbiz.de/10009019580

International Mutual Funds, Capital Flow Volatility, and Contagion-A Survey

Gelos, Gaston - International Monetary Fund (IMF) - 2011

Gaining a better understanding of the behavior of international investors is key for informing the debate about the … optimal response to capital flows and about reforms to the international financial architecture. In this context, recent … research on the behavior of international mutual funds at the micro level has expanded our knowledge about the drivers of …

Persistent link: https://www.econbiz.de/10009019586