Purpose – The purpose of this article is to assess the pricing of stocks that are traded on both a US stock exchange and a non‐US stock exchange to determine whether interaction exists between the two exchanges. Design/methodology/approach – This article identifies extreme price movements...

Purpose – The purpose of this research is to study the extent to which various price and earnings momentum measures can be used to enhance portfolio performance by better timing entry into value stocks (and isolating those growth stocks that still have some period to run)....

Purpose – The study aims to examine the stock price performance of publicly owned railroad companies following severe railroad accidents that resulted in the loss of human lives and/or hazardous material spills. The focus is on legal liability considerations as one of the primary factors that...

Purpose – The purpose of this paper is to examine the price discovery role of the Korea Composite Stock Price Index 200 (KOSPI 200) stock index options market in contrast to other developed options markets. Design/methodology/approach – The price discovery roles of the stock and options...

Purpose – The purpose of this paper is to take advantage of a natural experiment in Taiwan to test the effect of short‐sales constraints on price dynamics. Design/methodology/approach – Since September 1998, short‐selling is banned at a price below the close price of the previous trading...

Purpose – This study seeks to measure the behaviour of stock prices in the Bahrain Stock Exchange (BSE), which is expected to follow a random walk. The aim of the study is to measure the weak‐form efficiency. Design/methodology/approach – Random walk models such as unit root and...

Purpose – The purpose of this paper is to test a discrete time asset pricing model where a non‐marketable asset (human capital), along with other factors predicting stock returns, explain risk return relationship. The paper will add to the literature on risk return relationship with human...

Purpose – The purpose of this paper is to examine the statistical properties of the volatility index of India, India Vix (Ivix), its relationship with the Indian stock market and its predictive power for forecasting future variance. Further, the paper examines the volatility transmission...

Purpose – The purpose of this paper is to analyze the nature of returns and volatility spillovers between exchange rates and stock price in the IBSA nations (India, Brazil, South Africa). Design/methodology/approach – The study uses VAR framework and the recently proposed Spillover measure...

Purpose – The purpose of this paper is to investigate the direction of causality between the monthly stock returns and the monthly net foreign investor flows, and the existence of feedback trading by foreign investors for the “blue chip” stocks of the Istanbul Stock Exchange (ISE), an...