The focus of this paper will be on the role played by post-"Brexit", "Global Britain" in the face of the continuing conflict in Ukraine. Emphasis will be placed upon the background of public opinion and the current political climate in the UK and on how Britain's role on the international scene...

Extending Shleifer and Vishny (1997), we show that arbitrageurs will strategically limit their initial investment in an arbitrage opportunity in anticipation of further mispricing caused by the deepening of noise traders' misperceptions. Such ‘noise momentum' is an important determinant of the...

Contributing to the debate on the nominal price puzzle, we show that higher stock price level is associated with lower noise trading level which confirms Black's (1986) conjectures that noise traders prefer low-priced stocks to high-priced stocks. The result is robust after controlling for...

Motivated by the stylized fact that intraday returns can provide additional information on the tail behaviour of daily returns, we propose a functional autoregressive value-at-risk approach which can directly incorporate such informational advantage into the daily value-at-risk forecast. Our...

Why do firms manage their stock price levels? Building on the catering hypothesis and institutional investor preference literature, we propose a generalized catering hypothesis that managers cater their share price level to different types of investor (individual vs institutional) in order to...

We study time-varying price leadership between international stock markets using a Markov switching causality model. We demonstrate variations in the causality pattern over time, with the US being the dominant country in causing other markets. We examine the factors which determine a country's...