This paper models index stock returns for four major European stock markets as conditionally heteroskedastic processes with time dependent serial correlation. The evidence suggests that current returns in these markets are nonlinearly dependent on their past history. The dependence is strong...

Past research in the US indicates that stock prices and earnings per share are related. Evidence pertaining to this relationship in other countries is not as extensive. This paper extends two recent studies focusing on Germany, and provides additional information concerning the important...

We examine how financial networks influence asset prices and trading performance. Consistent with theoretical studies on the role of communication networks in information dissemination, we posit that global financial institutions, having more extensive and strategic financial networks, can more...

Purpose – This paper aims to investigate who causes post-announcement drift and whether this drift is observed for various types of news announcements. Design/methodology/approach – Using Finnish share ownership data, the authors examine the trading behavior of foreign and domestic investors...

Futures market officials are confronted with the difficult task of setting appropriate margin levels that must balance the costs of trader default and the benefits of increased market liquidity. One way to guard against default is prudent margin setting practices designed to protect futures...

This paper investigates the impact of earnings news on the trading behaviour of different types of traders in Finland. The results indicate that small and large traders behave differently around the earnings announcements, small traders increasing their sell orders after negative earnings surprises.