Evidence suggests that stock markets in industrialized economies are increasingly integrated with the presence of common trends amongst national stock market indices. This implies that in the long run there is little gain from diversifying portfolios internationally. We investigate the existence...

Purpose – The purpose of this paper is to provide a review of theory and empirical evidence on herding behavior in financial markets. Design/methodology/approach – Review and discussion of the literature. Findings – More than two decades of empirical and theoretical research have provided...

Theory suggests that equities are a good hedge against inflation. However, most of the empirical evidence suggests that the relationship between stock returns and inflation is negative. One explanation is the negative correlation between inflation and real output growth. In this paper the...

This paper examines trading activity in five index options markets before significant price shocks in the underlying asset (S&P100, FTSE100, CAC40, DAX30, and AEX). The results indicate abnormal call and put option trading volume before price shocks for a large number of cases, implying that...

This paper offers new evidence on informed trading around merger and acquisition announcements from the UK equity and options market. The analysis suggests that in about 25–33% of events there is abnormal option trading volume during the month that precedes the announcement. Such evidence is...

Purpose – This paper aims to investigate the yield spread determinants for a sample of European markets in the light of the recent financial crisis. It utilises findings from two different strands in the literature: findings on bond spread determinants and findings on the effect of investor...

Purpose – The purpose of this paper is to provide a review of theory and empirical evidence on herding behavior in financial markets. Design/methodology/approach – Review and discussion of the literature. Findings – More than two decades of empirical and theoretical research have provided...

Purpose – The purpose of this paper is to report new original evidence on optimal holding periods and optimal asset allocations (Benartzi and Thaler, 1995). Design/methodology/approach – The authors employ a number of different value functions, a recent dataset, different markets, and...