This paper analyzes daily market index and company level stock return data across the Gulf Cooperation Council (GCC) region in search of calendar effects well documented in many international stock markets. The presence of day-of-the-week anomalies suggests the existence of a global phenomenon....

Using comprehensive electronic data collected directly from NASDAQ systems, we assess the impact of changes in electronic message traffic on predicting short-term changes in prices, spreads and quoted depth levels. We document evidence that message traffic at, and nearby, the inside quotes...

This paper assesses the impact of perceptions about the safety level of airlines on enplanement. Consumer perceptions are specified with a Poisson distribution that updates over time. Using two different empirical specifications via a pooled generalized least squares procedure with fixed...