We study the association between weather-related mood factors and stock index returns in an order-driven market, the Shanghai Stock Exchange (SSE) of China. Our results indicate that asset returns are unaffected by changes in mood introduced by factors including the weather and the onset and...

This study applies wavelet analysis to examine the relationship between the U.S. real estate and stock markets over the period 1890-2012. Wavelet analysis allows the simultaneous examination of co-movement and causality between the two markets in both the time and frequency domains. Our findings...

Today's knowledge-based economy requires an entirely new system of assessing the value of companies--a system tapping the vast communication capabilities of the Internet.

This paper investigates the relationship between foreign exchange reserves and stock market development in Nigeria over the period 1981-2011. We use a multivariate framework incorporating an interest rate variable. The results show that a long run relationship exists among exchange rate...

Рассматриваются основные тенденции на фондовом рынке и рынке депозитов. Результаты исследования позволяют сделать вывод о спекулятивном росте на рынке....

This paper examines both short-run and long-run dynamics of return, volatility, liquidity and liquidity risk of returns on the Stock Exchange of Thailand (SET) index and USD/THB over the period of 1 January 1996 to 31 December 2011 to evaluate the effect of the Thai 2006 "coup d'états" and its...

We test whether investor mood affects trading with data on all stock market transactions in Finland, utilizing variation in daylight and local weather. We find some evidence that environmental mood variables (local weather, length of day, daylight saving and lunar phase) affect investors'...

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectation-formation process in the U.S. stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time...