In the last decades, several studies revealed the significant impact of oil price variation not only on the real economic activity but also on the financial markets evolutions. Such relations are affected by some particularities of the national economies. In this paper we examine the impact of...

The quantification of risk and dependence are major components of financial risk modelling. Financial risk modelling frequenty uses the assumption of a normal distribution when considereing the return series which makes modelling easy but is inefficient if the data is not normally distributed or...

The vast of literature concerning the reaction to macroeconomic announcements focus on American releases and their impact on returns and volatility. We are interested if the news from the German and the Polish economy are significant for the stock exchanges in these two countries. Using...

This paper presents a new technique for the empirical analysis of some capital market ratios and stock valuation. We first show how capital market ratios (such as the price to earning ratio) can be plotted in a constructed stock valuation box. Within the box we can also plot the contours of...

What should investors do after a market crash? Whether stocks are likely to recover depends not on how much they declined, but rather, on why they declined. Perhaps surprisingly, it also depends on what you mean by “recover.”

We examine determinants of U.S. equity trader maker-taker decisions (e.g., execute a non-marketable limit order or marketable order). Those with a higher maker tendency are slower, larger-size traders who exhibit smaller price impact and concentrate their trading in fewer markets. When the...

To study the effect of the legal system on the cost of external financing, we examine the degree of underpricing of the IPOs by foreign companies listed in the U.S. We find that firms from highly corrupted countries have larger IPO underpricing. The quality of the home countries' public law...

Objective - Less than 1% of the population in the Philippines has invested in the stock market (PSE, 2016). The Philippine Stock Exchange (PSE) has been in operation since 1927 and is one of the oldest in the Asia Pacific. The primary objective of this research is to examine the investing...

Professionals and individuals who invest in equity markets rely on financial analysts' recommendations and reports to decide on what to invest in and when to trade. This study examines the role of two groups of communication strategies, evaluation markers and mitigators, in establishing...