We construct synchronously priced indices of securitized property listed on the New York Stock Exchange and London Stock Exchange. The indices are then utilized to examine dynamic information flows between the two markets. By analyzing returns behavior, asymmetric volatility spillover effects...

Purpose – This paper introduces readers to the International Journal of Managerial Finance, highlighting its value and scope to the academic and professional community. Design/methodology/approach – This paper provides opinions of the editors on the nature and context of Managerial Finance...

[abstract missing - contribution appeared in the programme]

Purpose – This paper introduces readers to the International Journal of Managerial Finance , highlighting its value and scope to the academic and professional community. Design/methodology/approach – This paper provides opinions of the editors on the nature and context of Managerial Finance...

The vast majority of models that decompose the bid/ask spread assume the quote-driven, specialist structure of the NYSE. This paper critically evaluates these models to construct a model specific for an electronic order-driven exchange. The model not only captures adverse selection and the...

Enhanced liquidity is one possible motivation for stock splits but empirical research frequently documents declines in liquidity following stock splits. Despite almost thirty years of inquiry, little is known about all the changes in a stock's trading activity following a stock split. We examine...

Traditional market makers are losing their importance as automated systems have largely assumed the role of liquidity provision in markets. We update the model of Glosten and Milgrom (1985) to analyze this new world: we add multiple securities and introduce an automated market maker who prices...

Currently, there exists relatively little research on the influence that the 1997 Asian financial crisis has had upon capital flows within the securitized property market and the associated long run implications of it. This paper examines the impact that the crisis has had upon the integration...