See the article in <I>The North American Journal of Economics and Finance</I> (2013). Volume 26(C), pages 217-226.<P> Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents...</p></i>

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...

The effect of options’ introduction on underlying market is one of the frequently debated themes in financial research. A significant body of literature addresses the question of effects of options’ introduction. The critical review of the literature shows that there is no consensus among...

Our paper investigates the symmetry in stock returns of the 30 most liquid companies traded on Bucharest Stock Exchange during 2000 – 2011 and also the most representative 5 market indices. Our daily data shows that skewness estimates are slightly negative for most indices and individual...

This study investigates correlations between India’s bustling single stock futures (SSFs) and its peculiar Badla mechanism. Data from the world’s most active SSF market, the National Stock Exchange (NSE) of India, are used. The results indicated that both the Badla mechanism and the...

While the empirical literature has often documented a “default anomaly”, i.e. a negative relation between default risk and stock returns, standard theory suggests that default risk should be priced in the cross-section. In this paper, we provide an explanation for this apparent puzzle using...

U.S. stocks are more volatile than stocks of similar foreign firms. A firm’s stock return volatility can be higher for reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that the volatility of U.S. firms is...

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...

The present article is focused on the Capital Asset Pricing Model (CAPM) and its implementation into American Stock Market. It attempts to empirically test the validity of the CAPM to estimate individual stock returns based on historical stock data of selected companies. Security Market Line...

This paper offers and tests a unique explanation for the exchange rate determination puzzle. It is not that exchange rates are unrelated to fundamentals, but rather when fundamentals undergo persistent changes it becomes important to measure their effect in terms of how they change relative to...