This paper attempts to uncover the determinants of the dealer bid-ask spread in the foreign exchange market. Prior research has examined the Huang–Masulis model wherein the spread is modelled as a function of dealer competition and volatility. We first extend this model to a much larger...

Based on a stylized infinite-period and multi-asset model of a securities market, I discuss several aspects of the link between disclosure quality and cost of capital, with a particular focus on how diversification influences this link. I first show that because investors have finite horizons...

This article examines the dynamic relationship among the stock market and macroeconomic factors for the stock market of Nepal. The study documented both short-run and long-run interdependence among stock index and some macroeconomic variables. The estimated results suggest unidirectional...

The study examines the empirical validity of cointegration and causality between the two dominating Indian stock markets: the Bombay Stock Exchange (BSE) and the National Stock Exchange (NSE). The daily closing values of the BSE Sensex and the NSE Nifty indices are retrieved from the PROWESS...

The study evaluates the economic feasibility of technical analysis in the Indian stock market. It discusses that technical indicators do not outperform Simple Buy and Hold strategy on net return basis for individual stocks. Technical indicators seem to do better during market upturns compared to...

This article examines whether the overall market risk, along with risks reflecting uncertainty related to the long–run dynamics of market cash flows (dividends) and discount rates (returns), price average returns on single–sorted portfolios in the Greek stock market. Our results...

This study examines the empirical validity of the weak-form Efficient Market Hypothesis (EMH) for the foreign exchange market of Sri Lanka, using a battery of (univariate and panel) unit root tests, including those that allow for structural breaks. Monthly exchange rates for four major...

In this article we test the weak form of the efficient market hypothesis for Central and Eastern Europe (CEE) equity markets for the period 1999–2009. To test weak-form efficiency in the markets, this study uses autocorrelation analysis runs test and variance ratio test. We find that...

The purpose of this study is to test the efficiency level of the Athens Stock Exchange (ASE). It performs efficiency tests for the years 2000–2002. The results of these tests enable us to argue that over the two years of the study, ASE was not an efficient market as it suffered from...

We find persistence in mutual fund performance both over consecutive time periods and in a multi-period setting. There is significant spread, persisting for at least two or three years, between the portfolio with funds from the top past return quintile and those from the bottom past return...