In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...

There has been a marked increase in the magnitude of Foreign Institutional Investments (FIIs) into India since the 1990s, resulting in increased forex reserves and liquidity and a higher-valued Indian capital market. However, such investment is more volatile than other types of flows, causing...

There has been a marked increase in the magnitude of Foreign Institutional Investments (FIIs) into India since the 1990s, resulting in increased forex reserves and liquidity and a higher-valued Indian capital market. However, such investment is more volatile than other types of flows, causing...

This study investigates causality of weather and its impact on Australian stock market returns. The Australian S&P/ASX Index 200, which includes exclusively Australian domicile companies as well as some weather-sensitive companies, has been selected as a proxy for the Australian capital market....

This study investigates causality of weather and its impact on the The S&P/ASX All Australian 200 Index has been selected as a proxy for the Australian capital market. The index consists exclusively of Australian domiciled companies. Following previous research in behaviour finance in the area...

Using a unique dataset from the Taiwan Futures Exchange, this paper investigates whether trading imbalances by foreign investors affect emerging Taiwan futures market in terms of returns and volatility. First, this evidence demonstrates a positive relation between contemporaneous futures returns...

Using a unique dataset from the Taiwan Futures Exchange, this paper investigates whether trading imbalances by foreign investors affect emerging Taiwan futures market in terms of returns and volatility. First, this evidence demonstrates a positive relation between contemporaneous futures returns...

The transmission process from policy-controlled interest rates to bank lending rates deserves reconsideration owing to the implementation of the European Monetary Union (EMU) in 1999. Additional attention to the subject in Austria is due to several large banks which, in 2002, have been charged...

This paper reconciles the asymptotic disagreement between Bayesian and frequentist inference in set-identified models by adopting a multiple-prior (robust) Bayesian approach. We propose new tools for Bayesian inference in set-identified models. We show that these tools have a well-defined...