This paper examines the impact of international soccer matches on the Turkish stock market using firm-level and sorted-portfolio data. Applying Edmans et al. (2007) estimation method, we found a significant negative loss effect. However, once using panel data analysis as well as modeling spatial...

Changes in international shipping freight rates can predict US and international stock market returns. In today’s global world where economies are linked, shipping freight rates carry information about economic activity and stock returns. Using US size and sector indices we find that shipping...

We characterize and compare closed-loop (feedback) price and quantity strategies within a full-fledged dynamic model of oligopolistic competition in which production requires exploitation of a renewable productive asset. Unlike previous papers on the strategic exploitation of productive assets,...

This study undertakes the challenging task of comparing the weak form efficiency of conventional and Islamic equity markets. Using 12 different Dow Jones indexes that cover 16 years of daily data, we compare the time-varying non-linear predictability patterns of conventional market indexes and...

We make two methodological modifications to the method of testing CAPM beta and we show that these significantly affect inferences about the association between CAPM beta and stock returns. While the conventional beta proxy is indeed largely unrelated to realized stock returns (in fact the...

In August 1976 the then Federal Treasurer foreshadowed the incorporation in the Income Tax Assessment Act, 1936 of a severely modified form of the Mathews Committee's (1975) recommendations on trading stock. This paper documents the existence of substantial “tax-free†capital gains to...

A ‘price reversal’ test of the market impact of the abolition of the Trading Stock Valuation Adjustment (TSVA) is performed. The data are consistent with a price reversal having occurred under some experimental conditions.

The study examines the empirical validity of cointegration and causality between the two dominating Indian stock markets: the Bombay Stock Exchange (BSE) and the National Stock Exchange (NSE). The daily closing values of the BSE Sensex and the NSE Nifty indices are retrieved from the PROWESS...

In this article, we examine the relationship between oil price shocks and stock market behaviour using market index data for 15 sample countries. The sample countries are classified into four categories, based on their economic strength and oil exporting/importing status, to verify if the...

In this article we test the weak form of the efficient market hypothesis for Central and Eastern Europe (CEE) equity markets for the period 1999–2009. To test weak-form efficiency in the markets, this study uses autocorrelation analysis runs test and variance ratio test. We find that...