Previous studies on technical analysis mostly report the profitability of specific trading rules for a given set of historical data. In this paper, we use the human trader experiment approach to compare the performance of experienced and novice traders. It is found that traders who are more...

In this paper, on the basis of stochastic volatility (SV) models, we extend the approach of option pricing for executive stock options (ESOs) under FAS 123. Based on this extension, a sample of Chinese listed companies’ ESOs are priced. We analyze the effect of the some important financial...

This paper compares the role of macroeconomic and sector-specific factors in price movements for China and India, taking into account the features unique to developing economies. We find that fluctuations in the aggregated prices in China are more persistent than the underlying disaggregated...

The causality between the real estate and stock markets of China remains a mystery in the literature. This paper investigates the non-linear causal relationship between real estate property and stock returns in China from the perspective of conditional quantiles. The results of the quantile...

This paper examines the determinants of exchange rate regime of a country. A competing risks model (CRM) is estimated. It is found that the way a country exits a fixed exchange rate regime is affected nonlinearly by the duration of the peg. In addition, countries with a lower growth rate of...

A growing body of threshold models has been developed over the past two decades to capture the nonlinear movement of financial time series. Most of these models, however, contain a single threshold variable only. In many empirical applications, models with two or more threshold variables are...

This paper develops a new investor sentiment index for the Chinese stock market. The index is constructed via the principal component approach (PCA), taking six important economic and market factors into consideration. The sentiment index serves as a threshold variable in a threshold...