In this study, trading behavior of foreigners is investigated by using monthly data of the Istanbul Stock Exchange (ISE). The causality relationship between net foreign trading volume and stock returns is analyzed by Granger Causality Test. The positive feedback hypothesis is tested by using...

We investigate the e_ects of monetary policy shocks in the new European Union member states Czech Republic, Hungary, Poland and Slovakia. In contrast to existing studies, we explicitly account for external developments in European Monetary Union (EMU) countries and in other acceding countries....

This study provides the first attempt to examine the ability of the price of fine wine to forecast the Gross Domestic Product (GDP) for the major developed countries. Considering the limitation of a linear Granger causality test in detecting nonlinear causal relationships, a nonlinear Granger...

The first three factors resulting from a principal components analysis of term structure data are in the literature typically interpreted as driving the level, slope and curvature of the term structure. Using slight generalisations of theorems from total positivity, we present sufficient...

This research identifies potential links between performance and the level of financial communication on the web. This study examines 216 firms quoted in 2010 on the Free Market of Paris. We use a content analysis of websites and scoring technique, to compute a score of financial communication...

This research examines voluntary financial communication on the Internet by companies quoted on Brussels’ unregulated markets. In the absence of obligation to communicate, we wish to know if companies quoted on these markets are proactive regarding financial disclosure on their website?...

This paper employs unit-root tests that allow for two endogenous breaks as suggested by Lumdaine and Papell (1997) and Lee and Strazicich (2003) to investigate the returns on the S&P/Case-Shiller Home Price Indices. The tests that assume structural stability provide no evidence against the...

Cet article généralise l'approche de Bollerslev et Zhang (2003) qui consiste à utiliser des mesures et co-mesures de risque « réalisées » pour l'estimation des sensibilités dans les modèles d'évaluation des actifs financiers. Nous proposons ici d'étendre cette approche en introduisant...

The aim of this study is to investigate the asymmetric responses in volatility between positive and negative shocks in Turkish stock market. The daily closing values of Istanbul Stock Exchange 100 Index (ISE-100), cover the period from January 02, 1990 to December 29, 2004, are analyzed by using...

This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on Canada, we use six alternative bilateral and one multilateral exchange rate proxies. Furthermore, using both a two-factor and a three-factor capital asset pricing model (CAPM),...