The FTSE/JSE Top 40 Index is the flagship index at the Johannesburg Stock Exchange (JSE). It captures more than 80% of the total market capitalisation of all the shares listed on the JSE. It is tradable and the liquid ALSI future is listed on this index. A superficial view of the long-term...

Previously unknown basic statistics are obtained about the operations of the London Stock Exchange (LSE) in early Victorian times. Integration of data from the Bank of England Archive with price reports, press coverage, and other sources produces estimates for volume of transactions,...

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

Income trust units are some of the highest selling products in the Canadian securities industry, but they have been less successful beyond Canadian borders. The author discusses the remarkable profitability and proliferation of income trusts in Canada, but maintains that arguments in favour of...

This paper assesses the performance of historical and Monte Carlo simulation in calculating VAR, using data from the Greek stock and bond market. Our contribution to the fixed income VaR literature is twofold in terms of the chosen interest rate process, and the method (Principal Components...

Although risk management has been a well-ploughed field in financial modeling for over two decades, traditional risk management tools such as mean-variance analysis, beta, and Value-at-Risk do not capture many of the risk exposures of hedge-fund investments. In this article, I review several...

The Arab economy witnessed in the last three decades some developments as expressed by GDP per capita as well as by the human development index. However, such developments are not enough. It's varied, not comprehensive, and not as hoped. It's varied not only between individual states, but also...

After a market downturn, especially in an uncertain economic environment such as the current state, there can be a relatively long period with a sideways market, where indexes, stocks, etc., move in channels with support and resistance levels. We discuss option pricing in such scenarios, in both...

In response to the increasing use of computer programs to process firm disclosures, this registered report develops a new measure of “scriptability” that reflects computerized, rather than human, information processing costs. We validate our measure using SEC filing-derived data from prior...

We examine the effects of social interaction among equity analysts on the transmission of geographic-specific information and the quality of analysts' forecasts. We focus on interactions among local peers, defined as analysts who work in the same brokerage office (officemates) who cover...