The classical realized variance (RV) estimator is biased due to microstructure effects and asset price jumps. Robust realized variance (RRV) estimators adjust for these biases, and make more efficient of use of the intraday data. This article examines the benefits of using RRV estimators instead...

After the crisis of 2008, and the important losses and shortfall in capital that it revealed, regulators conducted massive stress testing exercises in order to test the resilience of financial institutions in times of stress conditions. In this context, and considering the impact of these...

Value-at-Risk (VaR) has been adopted as the cornerstone and common language of risk management by virtually all major financial institutions and regulators. However, this risk measure has failed to warn the market participants during the financial crisis. In this paper, we show this failure may...

This study empirically examined the relationship between stock market performance and taxation in Malaysia over the period 1980 to 2008. The Gregory Hansen methodology was utilized to examine which tax collected by Malaysia’s Government most impacted stock market performance in Malaysia....

The Internet is now one of the most popular channels for investors to acquire investment related information. It raises a question: Will Internet information richness increases mutual fund investors’ perceived quality and decreases their perceived risk, which in turn influences...

The purpose of this research was to analyze financial results of four major US retailers from June 2006 until August 2008 and compare their tactics to create shareholder’s value, using key performance and enterprise marketing ratios. This is a relevant study given the different business...

Although banks are central to the economic development and growth of emerging markets (Benston, 2004), most studies have not investigated the determinants of stock returns of this sector in these countries. This study, contributes to the literature in finance by investigating and identifying...

Stock market volatility has been omnipresent in the information technology sector. This manuscript compares the stock performance of computer and cellular hardware companies across six different twenty-month periods between the years 1996-2006. The focus periods include the browser era, the Y2K...

This paper uses the Generalized Autoregressive Conditional Heteroscedasticity - Autogressive Moving Average (GARCH-ARMA) and the Exponentially General Autoregressive Conditional Heteroscedasticity- Autogressive Moving Average (EGARCH-ARMA) models to examine the relationship between United States...

This study examines how the Canadian stock market reacts to the Fed’s policy. Although many research studies have measured the bilateral correlation among national stock markets, rarely have they investigated this correlation within a Free Trade Zone (FTZ). We use a Vector Error...