This paper examines a process of order submissions and cancellations in the interbank order driven market of the EUR/PLN currency pair. Our contribution to the existing literature is twofold. We generalize the Asymmetric ACD model (AACD) of Bauwens & Giot (2003) with respect to more than two...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

This paper addresses two issues. First, we employ unit-root tests that allow for two endogenous breaks as suggested by Lumdaine and Papell (1997) and, more recently, Lee and Strazicich (2003) to investigate the integration properties of the returns on the S&P/Case-Shiller Home Price Indices. The...

The objective of this study is to examine whether the notion of monetary neutrality hold in Malaysian stock market. Our findings indicate that there is considerable evidence against the long-run neutrality (LRN) of money in Malaysia’s stock market. The important implication is that the stock...

We show that OTC markets model with several assets (with market makers or not) have a unique steady state. Our proof is based on Rhon's version of Miranda's theorem which is a generalization of the intermediate value theorem. In addition, we provide a method for computing this steady state

This paper examines a process of order submissions and cancellations in the interbank order driven market of the EUR/PLN currency pair. Our contribution to the existing literature is twofold. We generalize the Asymmetric ACD model (AACD) of Bauwens & Giot (2003) with respect to more than two...

An increasing number of firms have restated previously issued financial statements in recent years. Legislators, regulators, and others speculate that restatements are associated with fees received by auditors for non-audit services (non-audit fees). The current study provides empirical evidence...

We investigate the concept of network momentum, a novel trading signal derived from momentum spillover across assets. Initially observed within the confines of pairwise economic and fundamental ties, such as the stock-bond connection of the same company and stocks linked through supply-demand...

Machine Learning algorithms have been widely used and proven effective in financial markets. In this paper, we introduced a Machine Learning model set trained on the residual factors from the Fama-French three-factor model (Fama and French, 1992) to find significant alpha factors. To include...