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Notes, Comments and Preliminary results

Jan 13 2017 Selim baha Yildiz and Abdelbari El khamlichi
  The Performance Ranking of Emerging Markets Islamic Indices Using Risk Adjusted Performance Measures
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Nov 26 2016 Mohsen Bahmani-Oskooee , Tsangyao Chang , Tsung-hsien Chen and Han-wen Tzeng
  "Revisiting the efficient market hypothesis in transition countries using quantile unit root test."
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Nov 26 2016 Dimitrios Dimitriou
  Greek debt negotiations and VIX currency indices: A HYGARCH approach
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Nov 09 2016 Jiseob Kim
  Why household debt held by Korean seniors is problematic: An international comparison
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Nov 09 2016 Amélie Charles and Olivier Darné
  Stock market reactions to FIFA World Cup announcements: An event study
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jun 11 2016 Mirzosaid Sultonov
  Dynamic conditional correlation and causality relationship among foreign exchange, stock and commodity markets: Evidence from 2014 Russian financial crisis
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 29 2016 Ramzi Boussaidi and Abaoub Ezzeddine
  The dynamics of Stock price adjustment to fundamentals: an empirical essay via STAR models in the Tunisian stock market
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 29 2016 Andrew Phiri
  Did the global financial crisis alter equilibrium adjustment dynamics between the US federal fund fund rates and stock price volatility in the SSA region?
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 14 2016 Mohamed Arouri and David Roubaud
  On the determinants of stock market dynamics in emerging countries: the role of economic policy uncertainty in China and India
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 14 2016 Kaidi Nasreddine and Sami Mensi
  Financial Development and Income Inequality: The Linear versus the Nonlinear Hypothesis
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Feb 04 2016 Octavio Fernández-Amador , Martin Gächter and Friedrich Sindermann
  Finance-augmented business cycles: A robustness check
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Oct 16 2015 Dominique Pépin
  Intertemporal Substitutability, Risk aversion and Asset Prices
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Sep 22 2015 Sergio Da Silva , Raul Matsushita and Eliza Silveira
  No endowment effect when people transact secondhand goods over the Internet
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Sep 07 2015 Amelie Charles and Olivier Darné
  Are the Islamic indexes size or sector oriented? evidence from Dow Jones Islamic indexes
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Aug 26 2015 Amélie Charles , Etienne Redor and Constantin Zopounidis
  The determinants of the existence of a critical mass of women on boards: A discriminant analysis
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jun 09 2015 Etienne Redor
  Does board diversity matter? Evidence from the market reaction to directors' departures.
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Jun 01 2015 Rachida Hennani and Michel Terraza
  Contributions of a noisy chaotic model to the stressed Value-at-Risk
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 22 2015 Taoufik Elkemali and Aymen Ben Rejeb
  R&D Intensity and Financing Decisions: Evidence from European Firms
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 09 2015 Hirofumi Suzuki
  Comovement and index fund trading effect: evidence from Japanese stock market
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Mar 30 2015 Ran Shao and Na Wang
  Effects of Aging on Gender Differences in Financial Markets
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Mar 29 2015 Gaetano Lisi
  Hedonic prices, capitalization rate and real estate appraisal
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Mar 29 2015 Dimitrios P. Louzis
  The economic value of flexible dynamic correlation models
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Mar 22 2015 Mandira Sarma
  Measuring financial inclusion
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Mar 11 2015 Jaideep Chowdhury and Gokhan Sonaer
  Investment and Managerial Preferences
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Mar 11 2015 Prateek Sharma and Swati Sharma
  Forecasting gains of robust realized variance estimators: evidence from European stock markets
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Nov 06 2014 Shangkari V Anusakumar , Ruhani Ali and Chee-Wooi Hooy
  Are momentum and contrarian effects related? Evidence from the Chinese stock market
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Nov 05 2014 Sabri Boubaker and Taher Hamza
  Does managerial overconfidence matter in explaining debt financing policy?
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Nov 05 2014 Wen-chung Guo and Ying-huei Chen
  Pricing of put warrants and competition among issuers
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Sep 16 2014 Marcelo Brutti Righi , Kelmara Mendes Vieira , Daniel Arruda Coronel , Reisoli Bender Filho and Paulo Sergio Ceretta
  Decomposing the bid-ask spread in the Brazilian market: an intraday framework
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jul 26 2014 Josh Stillwagon
  Reexamining what survey data say about currency risk and irrationality using the cointegrated VAR
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Apr 23 2014 Bruno Milani and Paulo Sérgio Ceretta
  A multiscale approach to emerging market pricing
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Feb 28 2014 Nguena Christian Lambert and Tsafack Nanfosso Roger
  On the Sensitivity of Banking Activity Shocks: Evidence from the CEMAC Sub-region
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Jan 30 2014 Manel Hamdi and Sami Mestiri
  Bankruptcy prediction for Tunisian firms : An application of semi-parametric logistic regression and neural networks approach
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Dec 23 2013 Bruno Milani and Paulo Sergio Ceretta
  Do Brazilian REITs depend on Real Estate sector companies or Overall Market?
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Dec 23 2013 M. Hossein Partovi
  Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Nov 05 2013 Julien Chevallier , Florian Ielpo and Ling-Ni Boon
  Common risk factors in commodities
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Aug 27 2013 Paulo Sergio Ceretta , Alexandre Silva da Costa , Marcelo Brutti Righi and Fernanda Maria Müller
  A 10 min tick volatility analysis between the Ibovespa and the S&P500
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jul 11 2013 Enzo Dia and Fabrizio Casalin
  Security issuance and the business cycle
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jul 11 2013 Philippe Bernard and Michel Blanchard
  The performance of amateur traders on a public internet site: a case of a stock-exchange contest
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 18 2013 Benoît Sévi and César Baena
  The explanatory power of signed jumps for the risk-return tradeoff
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Feb 21 2013 Francisca Beer , Fabrice Hervé and Mohamed Zouaoui
  Is Big Brother Watching Us? Google, Investor Sentiment and the Stock Market
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Oct 08 2012 Mohamed El Hédi Arouri , Amine Lahiani and Duc Khuong Nguyen
  Oil-stock volatility transmission, portfolio selection and hedging
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jul 26 2012 Hideaki Sakawa and Masato Ubukata
  Does Pre-trade Transparency Affect Market Quality in the Tokyo Stock Exchange?
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jun 15 2012 David G McMillan
  Long-run stock price-house price relation: evidence from an ESTR model
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 24 2012 Suresh K. G. , Aviral Kumar Tiwari and Anto Joseph
  Are the emerging bric stock markets efficient?
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 09 2012 Marcelo Brutti Righi and Paulo Sergio Ceretta
  Analysis of the Tail Dependence Structure in the Global Markets: A Pair Copula Construction Approach
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jan 29 2012 Go Tamakoshi , Yuki Toyoshima and Shigeyuki Hamori
  A dynamic conditional correlation analysis of European stock markets from the perspective of the Greek sovereign debt crisis
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jan 20 2012 Marcelo Brutti Righi and Paulo Sergio Ceretta
  Predicting the risk of global portfolios considering the non-linear dependence structures
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Dec 13 2011 Go Tamakoshi and Shigeyuki Hamori
  Transmission of stock prices amongst European countries before and during the Greek sovereign debt crisis
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Nov 28 2011 Renatas Kizys and Christian Pierdzioch
  Contagious speculative bubbles: A note on the Greek sovereign debt crisis
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jul 27 2011 Go Tamakoshi
  European sovereign debt crisis and linkage of long-term government bond yields
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jul 03 2011 Tran MANH Tuyen
  Modeling Volatility Using GARCH Models: Evidence from Vietnam
  Abstract  Contact Information  Citation  Full Text  -  Note
 
May 12 2011 Riccardo Calcagno and Mariacristina Rossi
  Portfolio Choice and Precautionary Savings
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 02 2011 Fernanda G Barba and Paulo S Ceretta
  Risk transmission between Latin America stock markets and the US: impacts of the 2007/2008 Crisis
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Feb 17 2011 Masanori Ohkuma and Teruo Mori
  Local finance-growth nexus: Does bank ownership matter?
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Jan 17 2011 Laurent Augier and Wahyoe Soedarmono
  Threshold Effect and Financial Intermediation in Economic Development
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Dec 08 2010 Siow-Hooi Tan and Mohammad Tariqul Islam Khan
  Long Memory Features in Return and Volatility of the Malaysian Stock Market
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Nov 11 2010 Abd Halim Ahmad , Siti Nurazira Mohd Daud and W.N.W. Azman-Saini
  Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Sep 23 2010 Andreas Knabe and Steffen Rätzel
  Better an insecure job than no job at all? Unemployment, job insecurity and subjective wellbeing
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Aug 26 2010 Robert Finger
  Stock price responses on the German suspension of genetically modified maize
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Jul 22 2010 Thi Hong Hanh Pham
  Effects of the 2008 Financial Crisis on developing Asia's Economic Growth
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
May 06 2010 Khurshid Kiani
  Predictable Signals in Excess Returns: Evidence from Non-Gaussian State Space Models
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 08 2010 Shiok Ye Lim and Ricky Chee-Jiun Chia
  Stock Market Calendar Anomalies: Evidence from ASEAN-5 Stock Markets
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Mar 25 2010 Arouri Mohamed El Hedi and Jawadi Fredj
  Short and long-term links between oil prices and stock markets in Europe
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jan 21 2010 Naved Ahmad and Shahid Ali
  Corruption and financial sector performance: A cross-country analysis
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Jan 19 2010 Siow-hooi Tan , Muzafar-shah Habibullah and Roy-wye-leong Khong
  Non-linear unit root properties of stock prices: Evidence from India, Pakistan and Sri Lanka
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Sep 24 2009 William Wai Him Tsang and Terence Tai Leung Chong
  Profitability of the On-Balance Volume Indicator
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Sep 10 2009 Tomoki Kitamura and Kunio Nakashima
  Changes in Equity Investment of Japan's Households After the Introduction of Defined Contribution Plans
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jun 08 2009 Qaiser Munir and Kasim Mansur
  Is Malaysian Stock Market Efficient? Evidence from Threshold Unit Root Tests
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 14 2009 Giam Quang Do , Michael Mcaleer and Songsak Sriboonchitta
  Effects of international gold market on stock exchange volatility: evidence from asean emerging stock markets
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Nov 02 2008 Wei-Hsiung Wu , Hui-Hwang Tsai , Shyan-Yuan Lee and Son-Nan Chen
  Extend the debt as it is not deeply out-of-the-money
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Nov 02 2008 Sifunjo E. Kisaka , Wainaina Gituro , Pokhariyal Ganesh and Ngugi W. Rose
  An analysis of the efficiency of the foreign exchange market in Kenya
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Oct 28 2008 Wan-Hsiu Cheng
  Overestimation in the Traditional GARCH Model During Jump Periods
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Aug 04 2008 Sovannroeun SAMRETH and Dara LONG
  The Monetary Model of Exchange Rate: Evidence from the Philippines Using ARDL Approach
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 21 2008 Alex Lebedinsky
  Empirical Test of Affine Stochastic Discount Factor Model of Currency Pricing
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Mar 07 2008 Venus Khim-Sen Liew , Ricky Chee-Jiun Chia and Syed Azizi Wafa Syed Khalid Wafa
  Day-of-the-week effects in Selected East Asian stock markets
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Dec 19 2007 Patricia Stefani
  Financial Development and Economic Growth in Brazil: 1986-2006
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Sep 03 2007 Thu Phuong Pham and Anh Tuan Bui
  The time to shut down
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Aug 15 2007 Tao Wang
  Financial Constraints and the Risk-Return Relation
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Aug 13 2007 Paresh Narayan and Arti Prasad
  Mean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests for Seventeen European Countries
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Aug 02 2007 Jose Luis de la Cruz and Elizabeth Ortega
  Continuous Time Models of Interest Rate: Testing the Mexican Data (1998-2006)
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jun 20 2007 virginie terraza and stephane mussard
  New trading risk indexes: application of the shapley value in finance
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Jun 17 2007 Luigi Ventura
  A note on the relevance of prudence in precautionary saving.
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jun 12 2007 Wen-Hsiu Kuo , Liu-Hsiang Hsu and Ching-Chung Lin
  The impact of foreign trading information on emerging futures markets: a study of Taiwan's unique data set
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jun 08 2007 Dat Bue Lock
  The China A shares follow random walk but the B shares do not
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
May 22 2007 Quentin Wodon
  Constructing Fama-French Factors from style indexes: Japanese evidence
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Mar 05 2007 Dat Bue Lock
  The Taiwan stock market does follow a random walk
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Feb 14 2007 Markus Haas
  Do investors dislike kurtosis?
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Oct 16 2006 Hideaki Sakawa and Naoki Watanabel
  A Note on Synchronization Risk and Delayed Arbitrage
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Mar 09 2006 Vahe Lskavyan
  Multiple Shareholder Control as a Signaling Mechanism
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Dec 06 2005 Jin Lee
  Long horizon regressions with moderate deviations from a unit root
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Dec 01 2005 Diego Nocetti
  A Model of Mental Effort and Endogenous Estimation Risk
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jun 03 2005 Fang Xu
  Does Consumption-Wealth Ratio Signal Stock Returns? - VECM Results for Germany
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 17 2005 Stephen LeRoy
  Positivity and bubbles in overlapping generations models
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Nov 05 2004 Stephen LeRoy
  Bubbles and the Intertemporal Government Budget Constraint
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Oct 25 2004 M. Hossein Partovi and Michael Caputo
  Principal Portfolios: Recasting the Efficient Frontier
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Apr 27 2004 David A. Hennessy
  Orthogonal Subgroups for Portfolio Choice
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Dec 19 2003 Joseph G. Eisenhauer
  Approximation bias in estimating risk aversion
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Nov 19 2003 Stephen LeRoy
  Expected utility: a defense
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Sep 11 2003 Ludovic Renou and Guillaume Carlier
  Existence and monotonicity of optimal debt contracts in costly state verification models
  Abstract  Contact Information  Citation  Full Text  -  Note
 
May 28 2003 Keiichi Tanaka
  Indeterminacy of equilibrium price of money, market price of risk and interest rates
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Mar 28 2003 Sergio Da Silva , Annibal Figueiredo , Iram Gleria and Raul Matsushita
  Fractal structure in the Chinese yuan/US dollar rate
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jan 21 2003 Nizar Allouch
  A note on two notions of arbitrage
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Nov 19 2001 Teruko Takada
  Nonparametric density estimation: A comparative study
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Oct 23 2001 João Amaro de Matos and Paula Antão
  Super-replicating Bounds on European Option Prices when the Underlying Asset is Illiquid
  Abstract  Contact Information  Citation  Full Text  -  Note