This article contributes to the debate whether the introduction of derivative instruments stabilises or destabilises markets for underlying assets. It has often been argued that due to the higher degree of leverage, futures markets tend to attract uninformed speculative investors and thus...

This paper examines conference call meetings held around merger and acquisition (M&A) announcements in the UK market. Our main findings indicate that conference calls not only facilitate the smoother transmission of M&A-related information in the stock market and smooth the rate of the...

This paper investigates the issue of market risk quantification for emerging and developed market equity portfolios. A very wide spectrum of popular and widely used in practice Value at Risk (VaR) models are evaluated and compared with Extreme Value Theory (EVT) and adaptive filtered models,...

This paper tests for herding towards the market consensus for US and UK leading stocks, and to the best of our knowledge addresses a gap in the literature regarding the importance of major fundamental macroeconomic announcements. The results indicate that US investors tend to herd during days...

Recent empirical evidence indicates that size and book-to-market ratios explain adequately a large part of average stock returns. This paper examines the association of a number of fundamental variables with the cross section of stock returns in the Hong Kong Stock Exchange. The results suggest...

During the last two decades, the focus of IMF involvement in the developing world, and especially in the low‐income countries, has shifted. For example, IMF involvement became not only more long term, but also oriented toward policy reform, rather than only assisting with a macroeconomic...