Builds on the work of Damodaran (1993) and Brisley and Theobald (19967) on measuring the speed with which stock markets convert information into price changes by using a simpler model of the price adjustment coefficient and applying it to 1988‐1966 data from the Hong Kong, US and Japanese...

This study examines the durations of US stock market cycle expansions and contractions for the presence of seasonality. Specifically, it is determined whether the distributional characteristics (i.e., location and dispersion) of the durations of market expansions and contractions are dependent...

The existence of weak‐form efficiency in the equity markets of the three main Central European transition economies (the Czech Republic, Hungary, and Poland) is examined for the period July 1995 through September 2000, using weekly Investable and Comprehensive indexes developed by the...

The desire to increase investor interest in emerging markets has motivated many studies of return and risk characteristics of equity prices in these markets. Using data from January 1999 to December 2002, we examine the dynamic relationships between oil, currency, and stock prices in the four...

This paper examines empirically Chinese stock price reactions to financial announcements for 2002. We find that B share prices react more strongly to negative financial announcements than A shares. The announcements can lead to excess returns. One explanation is that the markets are segmented by...

Illustrates the impact of major events on UK share prices/returns in the last 35 years and the time series trends of Asian stock markets. Looks at the impact of the 1997 Asian crisis on Asian financial markets from the US investor’s point of view, comparing 1994‐1999 data for the “tiger...

This paper investigates whether stock‐price indexes of emerging markets can be characterized as random walk (unit root) or mean reversion processes. We implement a panelbased test that exploits cross‐sectional information from seventeen emerging equity markets during the period January 1985...