This study examines the behavior of financial contagion within the New Zealand stock market. The degree of financial contagion is measured by the coincidence of extreme stock returns. The extent of the effect and its economic significance are examined using the multinomial regression. The...

This paper examines the stock price reaction to the announcement of convertible bonds (CBs) issuance during the period 1996 through 2002 in Japan. We discover a significantly negative stock price reaction to the announcement of CBs. This result conforms to the negative stock reaction in the U.S....

This study examines the performance of market order execution strategy in a pure limit order driven environment based on three bid-ask spread forecasting models. While a naive spread forecasting model based on previous day's spread and average 10 trading days' spread could deliver a cost saving...

This article examines the relation between average holding periods, stock illiquidity and investors' disposition effects in the Chinese stock markets between 1996 and 2003. The results show that Chinese investors' holding periods are longer for illiquid stocks and are inversely associated with...

Purpose: The purpose of this paper is to investigate the oil price–bank risk nexus by considering the heterogeneity of bank characters. Design/methodology/approach: This paper empirically tests the effect of oil price movements on bank credit risk by using a sample of 279 banks in the Middle...

Excessive borrowing of local governments in China sparked concerns that the debt may threaten the financial stability of the economy and ultimately cause economic collapse. It becomes critically important to understand the credit rating of China's LFGV bonds and the association between the...