We test the return reaction of an index of petroleum refining firms to the official forecast revisions for major tropical storms in the refinery-dense region of the northwest Gulf of Mexico. First, we find that improvements in official hurricane forecasts over the last twenty years have had a...

Prior research has addressed the question of whether certain events cause a transfer of wealth between stockholders and bondholders but does not control for the events’ impacts on firms’ credit risk. This may explain why many studies fail to identify wealth transfers. By employing...

This paper investigates the impact of the opening of US stock markets on the German stock market. Quantiles of the S&P 500 return distribution are used to distinguish good, bad, and no news days. We find that the German market reacts to the US news announcements which typically precede the...

This study investigates the effects of the recent global crisis on the relative efficiency of six CEE currency markets, using the generalized spectral test of Escanciano and Velasco (2006) in a rolling window approach. The empirical results show that the global crisis adversely affected the...

In this paper we analyze whether capital account liberalization leads to higher asset prices. Based on a sample of 242 non-financial firms listed on the Stock Exchange of Thailand at the time of the announcement of the relaxation of capital control in Thailand on January 29, 2007, we find...

This paper examines the effectiveness, cause and impact of price limits by comparing cross-listed Chinese stocks in China (A shares), Hong Kong (H shares) and New York (N shares). Price limit is found to have some effectiveness in preventing price continuation, but is ineffective in that the...

This paper investigates the existence of herding in the global equity market. We apply a methodology which utilises cross-country dispersion in index returns. An analysis of national indices world-wide unveils virtually no instances of global information cascades, as price patterns largely...

In this paper we investigate whether the imposition of the unremunerated reserve requirement on capital inflows influences exchange rate volatility and stock prices. Our analysis shows that exchange rate volatility of the Thai baht against four major currencies—the US dollar, the British...

This study investigates the impact of a change in the methodology of constructing a stock index on the stability of a stock exchange. In July 2010, the Tel Aviv Stock Exchange changed the criteria for the construction of five of its indices. Using data from these five stock indices for the years...

This study examines the tracking performance of U.S.-traded International Leveraged Exchanged-traded Funds (ILETFs) that track the following markets: Brazil, China, Europe, Japan, and Mexico. We find that the beta and returns of these ILETFs can deviate dramatically from their naïve expected...