We examine the newly developed international diversification instruments - iShares traded on the American Stock Exchange. Given the fact that iShares can be created and redeemed at will, the daily price of an iShare is expected to be equal to the daily portfolio value of the underlying assets in...

We test the implications of overconfidence behavior using U.S. intraday trading data. We propose several testable hypotheses for return autocorrelations, trading volume, return volatility, and for the causal interrelations between volume and volatility. As predicted by overconfidence behavior,...

This paper investigates the hypotheses that the recently established Mexican stock index futures market effectively serves the price discovery function, and that the introduction of futures trading has provoked volatility in the underlying spot market. We test both hypotheses simultaneously with...

We examine the contemporaneous correlation as well as the lead-lag relation between trading volume and return volatility in all stocks comprising the Dow Jones Industrial Average (DJIA). We use 5-minute intraday data and measure return volatility by the EGARCH method. Contrary to the mixture of...

We re-examine the inverse relationship between stock returns and inflation in the post- World War II period. Fama (1981) theorizes that the inverse inflation-stock return correlation is a proxy for the negative relationship between inflation and real activity. Geske and Roll (1983) argue that...

This paper uses weekly data from November 1987 through May 1999 to examine whether U.S. or Japan stock market (or both ) is the main driving force behind major movements in eleven emerging Asian-Pacific stock markets. We find a robust cointegrating relation linking each of the emerging market...

We propose a new methodology to test Fama's (1991) contention that the present value model (PVM) should be augmented by time-varying expected inflation to more adequately account for actual stock price behavior. Unlike other methods, our testing approach can distinguish between the excess-price...

The main intention of this paper is to investigate, with new daily data, whether prices in the two Chinese stock exchanges (Shanghai and Shenzhen) follow a random-walk process as required by market efficiency. We use two different approaches, the standard variance-ratio test of Lo and MacKinlay...