Several African nations rely heavily on coffee exports as a source of national income. Given coffee's importance to many African economies and the risk that price instability poses to coffee exporters, the World Bank and others have promoted price risk management strategies relying on...

With the continuous questioning of the efficient market hypothesis and the booming development of behavioral finance theory, the basic framework of financial economics becomes increasingly blurred. Meanwhile, the adaptive market hypothesis proposed by Lo (2004), underscoring time-varying market...

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...

Studying a comprehensive sample of stocks from the U.S. OTC market, we show that this market is a large and diverse trading environment with a rich set of regulatory and disclosure regimes, comprising venue rules and state laws beyond SEC regulation. We exploit this institutional richness to...

This paper shows that, counter to common perception, stock prices in China are strongly linked to firm fundamentals. Since the reforms of the early 2000s, stock prices are as informative about future profits as they are in the US. Although the market is segmented from international equity...

Although HFT has become a main feature of financial markets internationally, its impact on equity markets' functioning is still under discussion, since HFT can negatively affect market quality and stability. Regulatory measures recently adopted on both sides of the Atlantic to better control...

This study examines the Russian stock market efficiency from two perspectives. First, we document that for the sample of Russian firms cross-listed on the Main Market of the London Stock Exchange (LSE) as Global Depositary Receipts (GDRs), the return series obtained from both the local market...

Market integration and informational efficiency of stock markets are key policy variables, yet have long been studied as separate concepts. In this article, we address the forthright question of whether a more integrated stock market is also a more informationally efficient market using a panel...

The increasing popularity of non-dealer security markets that offer automated, computer-based, continuous trading reflects the conventional wisdom that such markets are more efficient for all issues, large and small. This article uses a recent testing methodology to estimate the relative...

Most markets that choose settlement day following expiration day select opening price rather than closing price as final settlement price (FSP) when index derivatives expire, while most markets that choose settlement day the same as expiration day select an average price rather than a single...