Journal of International Financial Markets, Institutions and Money

1997 - 2009

Edited by I. Mathur and C. J. Neely

from Elsevier
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Volume 19, issue 4, 2009

Dynamic correlations and volatility effects in the Balkan equity markets pp. 565-587

Theodore Constantine Syriopoulos and Efthimios Roumpis

Two currencies, one model? Evidence from the Wall Street Journal forecast poll pp. 588-596

Michael Frenkel, Rülke, Jan-Christoph and Georg Stadtmann

Asymmetric volatility in the foreign exchange markets pp. 597-615

Jianxin Wang and Minxian Yang

Price discovery of subordinated credit spreads for Japanese mega-banks: Evidence from bond and credit default swap markets pp. 616-632

Naohiko Baba and Masakazu Inada

Expansion and consolidation of bancassurance in the 21st century pp. 633-644

Zhian Chen, Donghui Li, Li Liao, Fariborz Moshirian and Csaba Szablocs

International stock markets interactions and conditional correlations pp. 645-661

Christos Savvas Savva

Monetary and financial stability in the euro area: Pro-cyclicality versus trade-off pp. 662-674

Brigitte Evelyne Granville and Sushanta K. Mallick

An event study analysis of international ventures between banks and insurance firms pp. 675-691

Sotiris K. Staikouras

The confusing time-series behaviour of real exchange rates: Are asymmetries important? pp. 692-711

David G. McMillan

Speculative trading and stock returns: A stochastic dominance analysis of the Chinese A-share market pp. 712-727

Wai Mun Fong

Volume 19, issue 3, 2009

The spillover effects of target interest rate news from the U.S. Fed and the European Central Bank on the Asia-Pacific stock markets pp. 415-431

Kim, Suk-Joong and Tho Nguyen

Foreign-exchange intervention strategies and market expectations: insights from Japan pp. 432-446

Gnabo, Jean-Yves and Jérôme Teiletche

Do real interest rates converge? Evidence from the European union pp. 447-460

Michael Arghyrou, Andros Gregoriou and Alexandros Kontonikas

Stock market liberalization and international risk sharing pp. 461-476

Shigeru Iwata and Shu Wu

Exchange rate regimes and prices: The cases of Italy, Spain and the United Kingdom (1874-1998) pp. 477-489

María Dolores Gadea, Monia Ben Kaabia and Marcela Sabate

Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility pp. 490-505

Eric Hillebrand, Gunther Schnabl and Yasemin Ulu

Financial market stability--A test pp. 506-519

Dirk G. Baur and Niels Schulze

Explaining the equity premium in Hong Kong with C-CAPM: The use of emigration growth as an instrument pp. 520-533

Henry Tam and Liona Lai

The UK equity market around the ex-split date pp. 534-549

Elena Kalotychou, Sotiris K. Staikouras and Maxim Zagonov

Liquidity minimization and cross-listing choice: Evidence based on Canadian shares cross-listed on U.S. venues pp. 550-564

Lawrence Kryzanowski and Skander Lazrak

Volume 19, issue 2, 2009

Further on nonlinearity, persistence, and integration properties of real exchange rates pp. 207-221

Rehim Kiliç

Emerging markets' spreads and global financial conditions pp. 222-239

Alessio Ciarlone, Paolo Piselli and Giorgio Trebeschi

Banking regulation and the output cost of banking crises pp. 240-257

Apanard P. Angkinand

Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries pp. 258-273

David G. McMillan

European bank equity risk: 1995-2006 pp. 274-288

Mamiza Haq and Richard Heaney

Changes in the international comovement of stock returns and asymmetric macroeconomic shocks pp. 289-305

Renatas Kizys and Christian Pierdzioch

Foreign exchange exposure: Evidence from the U.S. insurance industry pp. 306-320

Donghui Li, Fariborz Moshirian, Timothy Wee and Eliza Wu

Identification of a loan supply function: A cross-country test for the existence of a bank lending channel pp. 321-335

Sophocles N. Brissimis and Manthos D. Delis

RIP and the shift toward a monetary union: Looking for a "euro effect" by a structural break analysis with panel data pp. 336-350

Maveyraud-Tricoire, Samuel and Philippe Rous

Banking industry volatility and banking crises pp. 351-370

Fariborz Moshirian and Qiongbing Wu

External commitment mechanisms, institutions, and FDI in GCC countries pp. 371-386

Wasseem Mina

The role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market pp. 387-401

Frank McGroarty, Owain ap Gwilym and Stephen Thomas

Sectoral analysis of foreign direct investment and growth in the developed countries pp. 402-413

Tam Bang Vu and Ilan Noy

Volume 19, issue 1, 2009

Bank modelling methodologies: A comparative non-parametric analysis of efficiency in the Japanese banking sector pp. 1-15

Leigh Drake, Maximilian J.B. Hall and Richard Simper

Derivative activities and Asia-Pacific banks' interest rate and exchange rate exposures pp. 16-32

Hue Hwa Au Yong, Robert William Faff and Keryn Chalmers

Sudden changes in volatility: The case of five central European stock markets pp. 33-46

Ping Wang and Tomoe Moore

Policy coordination and risk premium in foreign exchange markets for major EU currencies pp. 47-62

Chanwit Phengpis and Vanthuan Nguyen

Corporate control rights and the long-run equity risk premium pp. 63-76

Roelof Salomons and Elmer Sterken

Price discovery in Taiwan's foreign exchange market pp. 77-93

Wan, Jer-Yuh and Kao, Chung-Wei

Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan pp. 94-111

Gnabo, Jean-Yves, Sébastien Laurent and Christelle Lecourt

Central bank FOREX interventions assessed using realized moments pp. 112-127

Michel Beine, Sébastien Laurent and Franz C. Palm

Financial structure change and banking income: A Canada-U.S. comparison pp. 128-139

Christian Calmès and Ying Liu

On the robustness of international portfolio diversification benefits to regime-switching volatility pp. 140-156

Thomas Flavin and Ekaterini Panopoulou

Rate of return parity and currency crises in experimental asset markets pp. 157-170

Jason Childs

Stock prices and demand for money in China: New evidence pp. 171-187

Ahmad Zubaidi Baharumshah, Siti Hamizah Mohd and Marial Awou Yol

Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter? pp. 188-205

Christopher Neely

Volume 18, issue 5, 2008

Interest rate futures and forwards: Evidence from the sterling futures and FRA markets pp. 399-412

Russell Poskitt

Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan pp. 413-424

David O. Cushman

Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market pp. 425-437

Zhuo Qiao, Thomas C. Chiang and Wing-Keung Wong

Further evidence on the rationality of interest rate expectations pp. 438-448

Ron Jongen and Willem F.C. Verschoor

Volatility forecasting: Intra-day versus inter-day models pp. 449-465

Timotheos Angelidis and Stavros Degiannakis

Who benefits more from international diversification? pp. 466-482

Chiou, Wan-Jiun Paul

Cost efficiency of the banking industry in the South Eastern European region pp. 483-497

Christos Staikouras, Emmanuel C. Mamatzakis and Koutsomanoli-Filippaki, Anastasia

A common factor analysis for the US and the German stock markets during overlapping trading hours pp. 498-512

Michael Flad and Robert Jung

Banks' procyclical behavior: Does provisioning matter? pp. 513-526

Vincent Bouvatier and Laetitia Lepetit

Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets pp. 527-544

Lim, Kian-Ping, Robert D. Brooks and Melvin J. Hinich

Market timing: A global endeavor pp. 545-556

Rodri­guez, Javier

Bank runs, foreign exchange reserves and credibility: When size does not matter pp. 557-565

Victoria Miller

Volume 18, issue 4, 2008

Long memory in the volatility of an emerging equity market: The case of Turkey pp. 305-312

Robert DiSario, Hakan Saraoglu, Joseph McCarthy and Hsi Li

Market structure and dealers' quoting behavior in the foreign exchange market pp. 313-325

Liang Ding

Robust outlier detection for Asia-Pacific stock index returns pp. 326-343

Thierry Ané, Loredana Ureche-Rangau, Gambet, Jean-Benoît and Julien Bouverot

Foreign exchange intervention and equilibrium real exchange rates pp. 344-357

Dimitrios A. Sideris

Testing the forward rate unbiasedness hypothesis during the 1920s pp. 358-373

Panayiotis F. Diamandis, Dimitris A. Georgoutsos and Georgios P. Kouretas

Chinese institutional investors' sentiment pp. 374-387

Gerhard Kling and Lei Gao

The stability-concentration relationship in the Brazilian banking system pp. 388-397

E.J. Chang, S.M. Guerra, Eduardo José Araújo Lima and Benjamin Miranda Tabak

Volume 18, issue 3, 2008

Explaining the European exchange rates deviations: Long memory or non-linear adjustment? pp. 207-215

Gilles Dufrénot, Sandrine Lardic, Laurent Mathieu, Valérie Mignon and Anne PEGUIN-FEISSOLLE

Does trading volume really explain stock returns volatility? pp. 216-235

Thierry Ané and Loredana Ureche-Rangau

The long swings in the spot exchange rates and the complex unit roots hypothesis pp. 236-244

Haitham A. Al-Zoubi

Market segmentation and equity valuation: Comparing Canada and the United States pp. 245-258

Michael R. King and Dan Segal

Dependence structure between the credit default swap return and the kurtosis of the equity return distribution: Evidence from Japan pp. 259-271

Chen, Yi-Hsuan, Anthony H. Tu and Kehluh Wang

Evidence of non-stationary bias in scaling by square root of time: Implications for Value-at-Risk pp. 272-289

Samir Saadi and Abdul Rahman

Too-big-to-fail: Bank failure and banking policy in Jamaica pp. 290-303

J. Daley, Kent Gerard Matthews and K. Whitfield

Volume 18, issue 2, 2008

Expiration day effects of Taiwan index futures: The case of the Singapore and Taiwan Futures Exchanges pp. 107-120

Huimin Chung and Hseu, Mei-Maun

Bank-specific, industry-specific and macroeconomic determinants of bank profitability pp. 121-136

Panayiotis P. Athanasoglou, Sophocles N. Brissimis and Manthos D. Delis

The purchasing power parity revisited: New evidence for 16 OECD countries from panel unit root tests with structural breaks pp. 137-146

Paresh Kumar Narayan

Impact of IMF-related news on capital markets: Further evidence from bond spreads in Indonesia and Korea pp. 147-160

Ayse Y. Evrensel and Ali M. Kutan

Convergence in the activities of European banks pp. 161-175

Drew Dahl, Ronald E. Shrieves and Michael F. Spivey

Investor demand for IPOs and aftermarket performance: Evidence from the Hong Kong stock market pp. 176-190

Sumit Agarwal, Chunlin Liu and S. Ghon Rhee

Understanding international portfolio diversification and turnover rates pp. 191-206

Amir A. Amadi and Paul Bergin

Volume 18, issue 1, 2008

Asymmetric variance and spillover effects: Regime shifts in the Spanish stock market pp. 1-15

Jose Luis Miralles Marcelo, Jose Luis Miralles Quiros and Maria del Mar Miralles Quiros

Contrarian and momentum returns on Iran's Tehran Stock Exchange pp. 16-30

Kevin R. Foster and Ali Kharazi

Comovements in international stock markets pp. 31-45

Claudio Morana and Andrea Beltratti

Is bank portfolio riskiness procyclical: Evidence from Italy using a vector autoregression pp. 46-63

Juri Marcucci and Mario Quagliariello

Sovereign default risk, the IMF and creditor moral hazard pp. 64-78

Ilan Noy

Swap curve dynamics across markets: Case of US dollar versus HK dollar pp. 79-93

Ying Huang, Salih N. Neftci and Feng Guo

Efficiency in emerging markets--Evidence from the MENA region pp. 94-105

Lagoarde-Segot, Thomas and Brian M. Lucey