We set out in the present study to examine the market value of comprehensive disclosure of information relating to the compensation paid to directors and executives. Under the theory of self selection, firms with higher levels of board independence will tend to provide comprehensive disclosure...

<title>Abstract</title> Recent financial crises resulted from systemic risk caused by idiosyncratic distress. In this research, taking Taiwan stock market as an example and collecting data from 2000 to 2010 which contained the 2001 dot-com bubble and the 2007--2009 financial crisis, we adopt the CoVaR model to...

This study applies threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment in long-run Purchasing Power Parity (PPP) in 22 selected African countries during the period of January 1980 to December 2003. Although there is evidence of...

This study applies threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment in long-run purchasing power parity (PPP) for both Mainland China and Taiwan during the January 1986 to October 2009 period. Although there is evidence of...

This article proposes a Full Jump Switching Level Generalized Autoregressive Conditional Heteroscedasticity (GARCH) (i.e. FJSLG) model for short-term interest rate which is an extension of Lee's jump switching filter with a state-dependent time-varying jump dynamic. FJSLG is applied to the rates...