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Notes, Comments and Preliminary results |
| Sep 16 2014 |
Marcelo Brutti Righi , Kelmara Mendes Vieira , Daniel Arruda Coronel , Reisoli Bender Filho and Paulo Sergio Ceretta |
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Decomposing the bid-ask spread in the Brazilian market: an intraday framework |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 06 2014 |
Chih-hsiang Hsu , Ming-sung Kao and Wei-pen Tsai |
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Information Transmission between Dual Listed Stocks with Non-Overlapping Trading Hours |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 08 2014 |
Ricky Chee Jiun Chia , Shiok Ye Lim and Sheue Li Ong |
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Long-Run Validity of Purchasing Power Parity and Cointegration Analysis for Low Income African Countries
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Abstract Contact Information Citation Full Text - Note |
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| Jun 20 2014 |
Franck Martin and Jiangxingyun Zhang |
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Correlation and volatility on bond markets during the EMU crisis: does the OMT change the process ? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Mar 31 2014 |
Stoyu I. Ivanov , Kenneth Leong and Janis K. Zaima |
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Operational Performance of Firms Added to the S&P 500 Index |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 31 2014 |
Amelie Charles and Etienne Redor |
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Women are from Venus, Men are from Mars: But Do the Financial Markets Know It? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Feb 04 2014 |
Ginny ju-ann Yang , Koyin Chang , Yung-Hsiang Ying and Chen-hsun Lee |
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Spillover Effects of Chinese Stock Markets |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jan 14 2014 |
Tobias R. Rühl and Michael Stein |
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The impact of financial transaction taxes: Evidence from Italy |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 23 2013 |
Kim man Lui and Terence T. L. Chong |
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Do Technical Analysts Outperform Novice Traders: Experimental Evidence |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 08 2013 |
Nahoko Mitsuyama and Satoshi Shimizutani |
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Stock market response to women's active participation in Japan: an event study analysis on a disclosing policy |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 04 2013 |
Luca Pennacchio |
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The role of venture capital in Italian IPOs |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 27 2013 |
Paulo Sergio Ceretta , Alexandre Silva da Costa , Marcelo Brutti Righi and Fernanda Maria Müller |
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A 10 min tick volatility analysis between the Ibovespa and the S&P500 |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 16 2013 |
Jani Saastamoinen and Niko Suhonen |
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Were the European short selling bans of 2011 effective? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 15 2013 |
Peter Molnár |
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Uniform price auctions with profit maximizing seller |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 11 2013 |
Diogo de Prince and Alexandre Monte |
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What market (spot or future) reflects news first? An analysis in the frequency domain for Brazilian stock market |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 11 2013 |
Gueorgui I. Kolev |
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Two gold return puzzles |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 11 2013 |
Enzo Dia and Fabrizio Casalin |
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Security issuance and the business cycle |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 11 2013 |
Philippe Bernard and Michel Blanchard |
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The performance of amateur traders on a public internet site: a case of a stock-exchange contest |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 11 2013 |
Pascal Nguyen |
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The role of firm performance in the market reaction to divestiture announcements |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 24 2013 |
Elie I Bouri |
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Correlation and Volatility of the MENA Equity Markets in Turbulent Periods, and Portfolio Implications |
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Abstract Contact Information Citation Full Text - Note |
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| May 21 2013 |
Renato Bruni , Francesco Cesarone , Andrea Scozzari and Fabio Tardella |
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No arbitrage and a linear portfolio selection model |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 13 2013 |
Jean-yves Filbien , Fabien Labondance and Yann Echinard |
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Macroeconomic, financial and institutional determinants of Eurozone sovereign crisis - Evidence from daily data |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Feb 21 2013 |
Francisca Beer , Fabrice Hervé and Mohamed Zouaoui |
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Is Big Brother Watching Us? Google, Investor Sentiment and the Stock Market |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 14 2013 |
Terence t. l. Chong and Xiaolei Wang |
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Can analyst predict stock market crashes? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jan 08 2013 |
Baotai Wang and D. Ajit |
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Stock Market and Economic Growth in China |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jan 08 2013 |
Aymen Ben Rejeb |
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Volatility spillovers and contagion: an empirical analysis of structural changes in emerging market volatility |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 24 2012 |
Renato Bruni , Francesco Cesarone , Andrea Scozzari and Fabio Tardella |
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A new stochastic dominance approach to enhanced index tracking problems |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Nov 19 2012 |
Shue-Jen Wu and Wei-Ming Lee |
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Predicting the U.S. bear stock market using the consumption-wealth ratio |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 19 2012 |
Ali Mirzaei , Guy Liu and John Beirne |
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Market Structure and Bank Profitability: Emerging versus Advanced Economies |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 28 2012 |
Elena D'alfonso and Luigi Moretti |
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The finance-growth nexus in ceec: new evidence from a survey-based indicator of external financial dependence |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Sep 09 2012 |
Jean-michel Sahut , Medhi Mili and Frédéric Teulon |
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What is the linkage between real growth in the Euro area and global financial market conditions? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Sep 05 2012 |
Carmine Trecroci |
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Uncertainty and the Dynamics of Multifactor Loadings and Pricing Errors |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 14 2012 |
Walid Chkili |
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Is currency risk priced for emerging stock markets? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Aug 03 2012 |
Mahalia Jackman |
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Foreign exchange intervention in a small open economy with a long term peg |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 26 2012 |
Hideaki Sakawa and Masato Ubukata |
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Does Pre-trade Transparency Affect Market Quality in the Tokyo Stock Exchange? |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 03 2012 |
João Caldeira , Guilherme Moura and André A.P. Santos |
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Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jun 15 2012 |
David G McMillan |
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Long-run stock price-house price relation: evidence from an ESTR model |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 10 2012 |
Robert Czudaj and Joscha Beckmann |
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Spot and futures commodity markets and the unbiasedness hypothesis - evidence from a novel panel unit root test |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 31 2012 |
Xuelong Wang |
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Financial Development and Rural-Urban Inequality: Evidence from China |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 23 2012 |
Stoyu I. Ivanov |
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Analysis of Firm Risk around S&P 500 Index Changes |
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Abstract Contact Information Citation Full Text - Note |
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| May 20 2012 |
Aymen Belgacem and Amine Lahiani |
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More on the impact of US macroeconomic announcements: Evidence from French and German stock markets' volatility |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 18 2012 |
Hans Bystrom |
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Executive compensation based on asset values |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 17 2012 |
Yunmi Kim |
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Autoregressive conditional beta |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 24 2012 |
Suresh K. G. , Aviral Kumar Tiwari and Anto Joseph |
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Are the emerging bric stock markets efficient? |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 24 2012 |
Kuang-Liang Chang |
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Stock return predictability and stationarity of dividend yield |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jan 25 2012 |
Jaqueson K. Galimberti and Sergio da Silva |
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An empirical case against the use of genetic-based learning classifier systems as forecasting devices |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 20 2012 |
Fabio Pizzutilo |
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Use of the Pearson System of Frequency Curves for the Analysis of Stock Return Distributions: Evidence and Implications for the Italian Market |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 13 2012 |
Benoît Sévi and César Baena |
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A reassessment of the risk-return tradeoff at the daily horizon |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 11 2012 |
Takashi Miyazaki , Yuki Toyoshima and Shigeyuki Hamori |
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Exploring the dynamic interdependence between gold and other financial markets |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 09 2012 |
Makram El-Shagi |
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Protect and survive? Did capital controls help shield emerging markets from the crisis? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Dec 13 2011 |
Go Tamakoshi and Shigeyuki Hamori |
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Transmission of stock prices amongst European countries before and during the Greek sovereign debt crisis |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Dec 09 2011 |
Wafa Snoussi and Mhamed ali El-aroui |
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Impact of Returns Time Dependency on the Estimation of Extreme Market Risk |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 28 2011 |
Dean Fantazzini |
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Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-post Analysis |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 13 2011 |
Benoît Sévi and César Baena |
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Brownian motion vs. pure-jump processes for individual stocks |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 09 2011 |
Chia Ricky Chee-Jiun and Lim Shiok Ye |
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Stock Market Anomalies in South Africa and its Neighbouring Countries |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 09 2011 |
Chia Ricky Chee-Jiun and Lim Shiok Ye |
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Twist-of-the-Monday Effect: Evidence from United State and 18 Selected European Union Stock Markets |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 09 2011 |
Zaichao Du |
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Intraday probability of informed trading |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 24 2011 |
Ching-chin Chou and Show-lin Chen |
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Integrated or segmented? a wavelet transform analysis on relationship between stock and real estate markets |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 24 2011 |
Marcelo Brutti Righi and Paulo Sergio Ceretta |
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Analyzing the structural behavior of volatility in the Major European Markets during the Greek crisis |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 09 2011 |
Loredana Ureche-Rangau , Fabien Collado and Ulysse Galiay |
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The dynamics of the volatility – trading volume relationship: New evidence from developed and emerging markets |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 28 2011 |
Loredana Ureche-Rangau and Franck Speeg |
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A simple method for variance shift detection at unknown time points |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 27 2011 |
Go Tamakoshi |
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European sovereign debt crisis and linkage of long-term government bond yields |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 22 2011 |
Rania Guirat |
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Investor behavior heterogeneity in the French stock market |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jun 16 2011 |
Raul Matsushita and Sergio Da Silva |
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A log-periodic fit for the flash crash of May 6, 2010 |
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Abstract Contact Information Citation Full Text - Note |
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