In this paper we test for the presence of fractional integration, or long memory, in the daily returns of exchange rates using ARFIMA(p,d,q) models. We consider 34 exchange rates against the US dollar (USD) covering the period April 1991 to April 2006. The results suggest that 17 exchange rates...

This study examines both restricted and unrestricted Black-Sholes models, according to Longstaff (1995). Using the Taiwan index options for each day from January 2005 to December 2008, the unrestricted model simultaneously solves the implied index value and implied volatility whereas the...

This study discusses the gradual shift of the Taiwanese government toward deregulation. Using the traditional variance ratio, nonparametric-based variance ratio tests and a rolling variance ratio test, this study examines the impact of liberalization on market efficiency in Taiwan. The results...

This study uses time-series analysis to investigate the long-run relationships and short-run dynamic interactions between the stock market and various macroeconomic variables in Malaysia over the period 1980M1 to 2006M12. The study applies the multivariate cointegration methodology to establish...

On November 14th, 2014, SUERF – The European Money and Finance Forum – and CNMV, Comisión Nacional del Mercado de Valores – the Spanish Authority for supervision of securities markets – jointly organized a conference in Madrid: Challenges in Securities Markets Regulation: Investor...

In present study, I explore the dynamics of the interday stock price reversals. In particular, I try to shed light on reversals in opening stock returns, that is, on the price reversals during the opening trading sessions with respect to previous day's price tendencies. I analyze intraday price...

The market for shipping goods across oceans is particular when it comes to spot shipping rates and its derivatives compared to other asset classes. First, since the underlying of shipping rates is a service, not an asset or commodity, rates cannot be short sold, which leads to an inefficient...

Attainment of rational expectations equilibria in asset markets calls for the price system to disseminate agents’ private information to others. Markets populated by human agents are known to be capable of converging to rational expectations equilibria. This paper reports comparable market...

Using a new daily dataset for all stocks traded on the New York Stock Exchange, we study the impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial crises of the 20th century. We estimate that the run on the market increased...

We study the value of innovation in a case study of one of the most visible innovative products in recent years, Apple’s iPhone. The value effects of news announcements, patent publications, and trademarks relating to iPhone are taken into account. Our estimate of the lower bound on the value...