In this study, we used event study methodology to examine stock price reactions to quarterly earnings announcement. The study is based on a sample of 146 companies listed on Bombay Stock Exchange and December 2000 quarterly earnings announcements are taken event. The abnormal performance is...

Near futures expiration days, market participants have a practical need to rollover positions to expirations at a later date. The most common form of market order for rolling over contracts is the calendar spread which dominates transaction volume. Despite this dominance, futures rollovers have...

Speed of stock price response is important because if response is slow, the informed and alert investors would exploit it to earn abnormal returns by outperforming the market. This implies that market is inefficient in the semi-strong form. The study tests the reaction Indian stock market...

The study tests the reaction of Bahrain Bourse to 2014 annual financial results announcement. The study is based on 30 companies. The researcher used event study methodology. The behaviour of average abnormal returns (AARs) and cumulative average abnormal returns (CAARs) are examined for 30 days...

We document empirical support for the 'house money' effect proposed by Thaler and Johnson (1990). Market makers for Taiwan' TAIEX index options tend to take above-average risks in afternoon trading after above-average morning gains. The fraction of market makers with better-than-average morning...

In this paper we investigate the distribution of futures market returns and volumes. A variety of contracts are selected from agriculture, foreign exchange, industrial, equity, and interest rate market sectors. Daily closing prices and volumes are used to construct two series of data...

We study the trading behavior of individual investors using the Trade and Quotes (TAQ) and Institute for the Study of Security Markets (ISSM) transaction data over the period 1983 to 2001. We document four results: (1) Order imbalance based on buyer- and sellerinitiated small trades from the...

This paper investigates the effects of macroeconomic fundamentals on emerging market sovereign credit spreads. We find that the volatility of terms of trade in particular has a statistically and economically significant effect on spreads. This is robust to instrumenting terms of trade with a...

This paper proposes a simple structural model to estimate the term structure of sovereign spreads and the implied default probability of a selected group of emerging countries, which accounts for more than 50% of the J. P. Morgan EMBIG index.The real exchange rate dynamics, modeled as a pure...

In this paper, we develop and experiment an intensity based multi-factor model, which incorporates the joint modelling of default, prepayment and recovery risks. In this way, the model provides a link between the credit default swap (CDS) and the loan-only credit default swap (LCDS) markets. The...