This study provides evidence that there exist long-run benefits for investors from diversifying in two Chinese share markets over the period January 5, 2000 to December 31, 2005. The evidence is based on tests for pairwise cointegration between the Shanghai and Shenzhen¡¦s A-share and...

For analyzing the aftermath of the latest global financial crisis, five major variables are used in this study to provide separate measures of the performance of 32 representative investment and commercial banks amongst the world’s 1,000 largest banks, in order to explore the changes in their...

This paper analyses the types of stocks herded by foreign institutional investors (FIIs) with higher positive abnormal returns in the emerging stock markets. Using a panel smooth transition regression (PSTR) model, we demonstrate that the positive price impact of the herd buying patterns of FIIs...

In this study, we use the newly developed and refined panel stationary test with structural breaks to investigate the time-series properties of stock prices for the G-7 stock markets during the 2000–2007 period. The empirical results from numerous earlier panel-based unit root tests which do...

This study provides evidence that there exist long-run benefits for investors from diversifying in two Chinese share markets over the period January 5, 2000 to December 31, 2005. The evidence is based on tests for pairwise cointegration between the Shanghai and Shenzhen¡¦s A-share and B-share...

The panel Seemingly Unrelated Regressions Augmented Dickey-Fuller (SURADF) tests advanced by Breuer et al. (2001) are used to test the validity of Purchasing Power Parity (PPP) for eight major oil-exporting countries over the 1992:06 to 2008:02. Empirical results from several panel-based unit...

We investigated changes in the financial performance of representatives of the world’s top 200 commercial banks after the global subprime financial crisis. Our empirical results show that following the subprime-crisis disclosure, all commercial banks exhibited worse performance in asset...

This study extends the herding measures proposed by Warmers (1999), Lakonishok, Shleifer and Vishny (1992) and Borensztein and Gaston (2003) for stocks overbought and oversold by institutional investors as well as the information content related to institutional herding proposed by Nofsinger and...