In this paper, we chiefly address the determinants of off-shore listed prices of Indian and Chinese derivatives, especially when the underlying spot markets are closed for trading. Using microstructure data, we split a trading day of the underlying into three segments – pre-market hours,...

High frequency study at individual level in the Jakarta Stock Exchange is conducted in this research to reveal the dynamics at intraday level. Several apparent patterns emerge from analyzing the relation among the speed of adjustment coefficients, noise, and noise variance. It is found that the...

This paper documents an economically significant risk premium associated with a currency’s sensitivity to time-varying risk aversion. Consequently, an investment strategy that takes a long (short) position in currencies with high (low) sensitivity to the aggregate market risk aversion yields...

This study aims to investigate the day-of-the-week (DoW) effect of cross-market leveraged exchange-traded funds (LETFs) in the Taiwanese stock market. We find that Wednesday’s overnight returns are significantly positive for bull 2X LETFs tracking major stock indices of the Chinese market,...

Investment is a part and parcel of life. There are various avenues to invest and one of those is the Stock Market. But the decision of the investor depends on various factors and one of these factors is Terrorism. The chapter focuses on the Long and Short-run Association (LSA) and the influence...

We present significant evidence of out-of-sample equity premium predictability for a host of industrialized countries over the postwar period. There are important differences, however, in the nature of equity premium predictability between the United States and other developed countries. Taken...

The contemporaneous call options volume have a significant strong positive feedback effect on the implied volatility, but the contemporaneous feedback effect of volume on the TARCH volatility is insignificant. The contemporaneous feedback effects from the implied volatility and the TARCH...

This paper investigates the dynamic correlations between Chinese stock return and global markets at both market and sectoral levels. Statistics suggest that stock-return correlations across markets are time-varying and display structural breaks. The evidence indicates that the stock returns of...

By exploiting momentum strategy; “buying winner portfolio and selling portfolio” this research papers investigates the evidence against the strong form of efficiency which claims that one cannot earn excess return with historical information and excess return if any, is mere compensation of...

We examine the existence of herding and anti-herding (positive herding) behavior in major European benchmarking stock market indices. Following the recent events that unfolded in the Eurozone sovereign debt crisis our analysis is further expanded on two subsamples namely north and south European...