This paper uses the event-study methodology to investigate the effect of the Presidential Turkish elections in 2023 on Borsa Istanbul returns. The data used in this study cover the period from 13 June 2022, through 7 June 2023. We employ a market model to study the effect of two election rounds...

This paper investigates the magnitude and the duration of the effect of a terrorist attack on stock market indices. We investigate the impact of New York (2001), Madrid (2004), London (2005), Boston (2013), Paris (2015), Brussels (2016), Nice (2016) and Berlin(2016) on the stock indices of the...

This article examines the Day of the Week Effect for the main stock markets in Latin America in Argentina, Brazil, Chile, Colombia, Mexico, and Peru, during the period, 1993-2007. I undertake three different analyses, including GARCH models for the returns and volatility of daily returns by day...

We present evidence on the existence of the turn of the month and what we call turn of the month surrounding days effect in the I . stanbul Stock Exchange (ISE) for the period between 1988 and 1999, using ISE National 100 Composite Index and 30 most highly traded stocks of ISE (ISE 30 stocks)....

We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...

Unlike the U.S. and most developed countries, Taiwan stock market has been widely documented to have no value premium. Prior studies on the value premium typically adopt a conventional approach proposed by Fama and French (1992), which suggests a buy-and-hold strategy with annual rebalancing. We...

We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation—rescaled range analysis (R/S) and detrended fluctuation analysis (DFA). Even though both methods have been widely applied on different types of financial assets, only several papers have dealt with...

In this paper we analyze return and volatility spillovers during overlapping trading hours between China (Shanghai Composite Index) and Japan (Nikkei 225 Index) using intraday high-frequency data. We first adjusted the 5-min. returns for intraday periodicity with Flexible Fourier Form (FFF)....

We analyze the mechanism of return and volatility spillover effects from the Chinese to the Japanese stock market. We construct a stock price index comprised of those companies that have substantial operations in China. This China-related index responds to changes in the Shanghai Composite Index...

Using weekly stock index prices, corresponding to the period between April 07 of 1998 and April 14 of 2003, we analyzed the efficiency of the dynamic multivaried models, from recursives genetic algorithms, to forecast the weekly sign variations of stock-exchange indices IPC, TSE, Nasdaq and DJI....