Financial integration is one of the buzz words in financial world. The co movement of share prices across the stock markets in the world is a frequently experienced phenomenon. Especially during the times of crisis it is observed that the stock markets crash together. The oil crisis of 1973, the...

In this paper, we provide evidence that the opening stock price contains noise on an everyday basis among all the NIFTY companies. However, we also find that the impact of noise does get eliminated from prices at the end of the trading day. We show how these seemingly contradictory twin...

We investigate the stock market crashes in China, Iceland, and the US in the 2007-2009 period. The bond stock earnings yield difference model is used as a prediction tool. Historically, when the measure is too high, meaning that long bond interest rates are too high relative to the trailing...

The purpose of this research is to determine the main forecasting factors of stock analysts, to analyze whether stock analysts have a rational base for their advice to the individual investors. According to the Modigliani-Miller theorem, the factors which affected to dividend and capital gain...

In this study we propose a new price impact ratio as an alternative to the widely used Amihud's (2002) Return-to-Volume ratio (RtoV). This new measure, which is deemed Return-to-Turnover ratio (RtoTR), essentially modifies RtoV by substituting trading volume in its denominator with the turnover...

We examine the changes in order flow on NASDAQ from 1993 through 2010. We find that while volume and the number of trades are increasing for NASDAQ-listed securities, the percentage of volume that executes on NASDAQ declines from almost 100% in the 1990's to less than 40% in 2010. We examine the...

This paper provides new evidence on the positive risk-return tradeoff in the Thai stock market using monthly data. An AR(p)-GARCH-in-mean model is applied to the data from January 1981 to December 2009. Since stock prices and dividend series are not cointegrated, the excess returns are...

The “Financial Big Bang” reforms during the latter half of the 1990s substantially transformed the Japanese financial system, but despite this, the level of risky assets that Japanese households have in their portfolio has not increased. One reason for this is the lack of knowledge necessary...

Using a rich dataset of orders and trades for a sample of stocks listed on the four European markets of NYSE Euronext, we apply principal component analysis and provide evidence on the existence and magnitude of commonality in returns, order flow and liquidity. We show that commonality in order...

This paper aims to analyze the stock exchange consolidation process in Emerging Markets, with particular reference to the United Arab Emirates (UAE). More specifically, this paper aims to investigate whether the UAE stock exchanges will be characterized by the same consolidation process, which...