Gold is a globally traded asset and held in large quantities by investors and central banks. Since there is no established model to assess if the price of gold is overvalued or undervalued, we propose a relative valuation framework based on gold price ratios and focus on potential drivers of...

Similar to economic growth, the process of technology diffusion may well be approximated by easily Exchange Traded Funds (ETFs) are recognized financial innovations pervasively impacting and transforming financial markets (Deville 2008, Gastineau 2010, Agapova 2011, Hill et al. 2015). Easy to...

Exchanges in Europe are in a process of consolidation. After the failure of the proposed merger between Deutsche Börse and Euronext, these two groups are likely to become the nuclei for further mergers and co-operation with currently independent exchanges. A decision for one of the groups...

This study re-examines the return-volatility relationship and dynamics under a new VAR framework. By analyzing two model-free implied volatility indices - VIX (the U.S.) and VKOSPI (Korea) - and their corresponding stock market indices, we found an asymmetric volatility phenomenon in both...

The authors re-examine the return-volatility relationship and its dynamics under a new vector autoregression (VAR) identification framework. By analyzing two model-free impliedvolatility indices - the well-established VIX (in the United States) and the recently published VKOSPI (in Korea) - and...

The globalization of markets and companies has increased the demand for internationally comparable high quality accounting information resulting from a common set of accounting rules. Despite remarkable efforts of international harmonization for more than 25 years, accounting regulation is still...

Since the Federal Open Market Committee (FOMC) began announcing its policy decisions in 1994, U.S. stock returns have on average been more than thirty times larger on announcement days than on other days. Surprisingly, these abnormal returns are accrued before the policy announcement. The excess...

We provide robust evidence of deviations from the covered interest rate parity (CIP) relation since the onset of the financial crisis in August 2007. The CIP deviations exist with respect to several different dollar-denominated interest rates and exchange rate pairings of the dollar vis-à-vis...

Foreign currency denominated debt as an influence of exchange rate pressure during the 2008 global crisis is explored across 58 countries. Countries with higher ratios of foreign currency denominated debt to total international debt experienced significant currency depreciation during the global...

Stock market integration of mainland China is analyzed before and after the liberalization of Chinese stock exchange segments. We apply a causalityin-variance procedure, using four mainland China stock market indices, two indices of the stock exchange in Hong Kong and the Dow Jones Industrial...