We examine buy and hold and a number of rebalancing strategies on a portfolio of indices that are tracked by ETFs. The indices include Barkley's treasuries and MSCI indices on emerging markets, Pacific and European markets, value funds, and growth funds. Portfolios are rebalanced using threshold...

This study examines the effects of oil shocks by their respective causes and of volatility spillover including leverage effects. Previous studies did not analyze oil factor by categorizing it into three components (supply shock, demand shock, and market shock) as determinants of rate of return...

Due to the numerous studies of asymmetric portfolio returns, asymmetric risk measures have widely been used in risk management with extensive uses on the methodology of n-degree lower partial moment (LPM). Unlike the initial studies, we use the risk measure of n-degree maximum drawdown, which is...

This study fills a huge gap in literature by providing some evidence on the level and determinants of bank efficiency in a Pacific island context. DEA results show that overall efficiency levels may be lower than in Australia, the home country of major banks. Dynamic GMM and panel data results...

We propose two tests for the equality of covariance matrices between two high-dimensional populations. One test is on the whole variance-covariance matrices, and the other is on offdiagonal sub-matrices which define the covariance between two non-overlapping segments of the high-dimensional...

Financial intermediaries perform indirect financing, and in this context, commercial banks are very important participants. They carry out the bulk of indirect financing transactions. On the other hand, the implementation mechanism of monetary policy is closely linked to the functioning of the...

Transaction-cost models in continuous-time markets are considered. Given that investors decide to buy or sell at certain time instants, we study the existence of trading strategies that reach a certain final wealth level in continuous-time markets, under the assumption that transaction costs,...

This paper explores the relationship between financial reforms, financial liberalization and the quality of banking regulation and supervision for financial fragility by applying a dynamic two-step system generalized method of moments GMM panel estimator technique. The finding of this study is...

This paper presents the first comprehensive study of the performance and market timing ability of the equity funds that comprise the Hong Kong Mandatory Provident Funds (MPF) scheme. In general, our results suggest that US equity funds consistently underperform relative to the market, while the...

This paper examines the dynamics of returns and order imbalances across the KOSPI 200 cash, futures and option markets. The information effect is more dominant than the liquidity effect in these markets. In addition, returns have more predictability power for the future movements of prices than...