Journal of International Financial Markets, Institutions and Money

1997 - 2008

Edited by I. Mathur and C. J. Neely

from Elsevier
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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

Volume 17, issue 5, 2007

Global monetary policy shocks in the G5: A SVAR approach pp. 403-419

João Sousa and Andrea Zaghini

Characteristics and behavior of newly listed firms: Evidence from the Asia-Pacific region pp. 420-436

Stephen P. Ferris, Narayanan Jayaraman and Sanjiv Sabherwal

Exchange rate fluctuations, financing constraints, hedging, and exports: Evidence from firm level data pp. 437-451

Robert Dekle and Heajin H. Ryoo

Are international stock returns predictable?: An examination of linear and non-linear predictability using generalized spectral tests pp. 452-464

Matthew Q. McPherson and Joseph Palardy

Volume 17, issue 4, 2007

Macroeconomic news and exchange rates pp. 307-325

Douglas K. Pearce and M. Nihat Solakoglu

Is there market discipline for New Zealand non-bank financial institutions? pp. 326-340

Kurt Hess and Gary Feng

Intraday evidence of efficacy of 1991-2004 Yen intervention by the Bank of Japan pp. 341-360

Suk-Joong Kim

ADR mispricing: Do costly arbitrage and consumer sentiment explain the price deviation? pp. 361-371

Axel Grossmann, Teofilo Ozuna and Marc W. Simpson

Uncertainty and international debt maturity pp. 372-386

Neven T. Valev

Explaining when developing countries liberalize their financial equity markets pp. 387-402

Bonghoon Kim and Lawrence W. Kenny

Volume 17, issue 3, 2007

Deconstructing the Nasdaq bubble: A look at contagion across international stock markets pp. 213-230

Mark T. Hon, Jack K. Strauss and Yong, Soo-Keong

Characteristics of permanent and transitory returns in oil-sensitive emerging stock markets: The case of GCC countries pp. 231-245

Shawkat Hammoudeh and Kyongwook Choi

Are foreign issuers complying with Regulation Fair Disclosure? pp. 246-260

Prem G. Mathew, David Michayluk and Paul Kofman

Fiscal policy events and interest rate swap spreads: Evidence from the EU pp. 261-276

Antonio Afonso and Rolf Strauch

Are the China-related stock markets segmented with both world and regional stock markets? pp. 277-290

Yuenan Wang and Amalia Di Iorio

Why do central banks intervene secretly?: Preliminary evidence from the BoJ pp. 291-306

Michel Beine and Oscar Bernal

Volume 17, issue 2, 2007

A re-examination of international inflation convergence over the modern float pp. 125-139

William J. Crowder and Chanwit Phengpis

Relations between mutual fund flows and stock market returns in Korea pp. 140-151

Natalie Y. Oh and Jerry T. Parwada

Mean reversion versus random walk in G7 stock prices evidence from multiple trend break unit root tests pp. 152-166

Paresh Kumar Narayan and Russell Smyth

On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis pp. 167-179

Sangbae Kim and Francis In

Currency futures-spot basis and risk premium pp. 180-197

Ahmet Can Inci and Biao Lu

The innovations of e-mini contracts and futures price volatility components: The empirical investigation of S&P 500 stock index futures pp. 198-211

Anthony H. Tu and Wang, Ming-Chun

Volume 17, issue 1, 2007

Intraday stock price effects of ad hoc disclosures: the German case pp. 1-24

Jan Muntermann and Andre Guettler

Volatility and correlation in international stock markets and the role of exchange rate fluctuations pp. 25-41

Mun, Kyung-Chun

Currency regimes and currency crises: What about cocoa money? pp. 42-57

Mark S. LeClair

Spot-forward cointegration, structural breaks and FX market unbiasedness pp. 58-78

O. Miguel Villanueva

Does cross-ownership affect competition?: Evidence from the Italian banking industry pp. 79-101

Francesco Trivieri

What are the risks when investing in thin emerging equity markets: Evidence from the Arab world pp. 102-123

Eric Girard and Mohamed Omran

Volume 16, issue 5, 2006

Home bias among European investors from a Bayesian perspective pp. 397-410

Hossein Asgharian and Bjorn Hansson

Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange pp. 411-424

Emmanuel Athanassiou, Christos Kollias and Theodore Constantine Syriopoulos

Consolidation, scale economies and technological change in Japanese banking pp. 425-445

Solomon Tadesse

Is foreign exchange intervention by central banks bad news for debt markets?: A case of Reserve Bank of Australia's interventions 1986-2003 pp. 446-467

Suk-Joong Kim and Cyril Minh Dao Pham

An empirical study to identify shift contagion during the Asian crisis pp. 468-479

E. Marais and S. Bates

Volume 16, issue 4, 2006

Are financial spillovers stable across regimes?: Evidence from the 1997 Asian crisis pp. 301-317

Bartosz Gebka and Dobromił Serwa

Clustering and psychological barriers in exchange rates pp. 318-344

Jason Mitchell and H.Y. Izan

Getting out from between a rock and a hard place: Can china use its foreign exchange reserves to save its banks? pp. 345-354

Victoria Miller

Multivariate market association and its extremes pp. 355-369

Dirk Baur

Do institutional investors destabilize stock prices? evidence from an emerging market pp. 370-383

Martin T. Bohl and Janusz J. Brzeszczynski

Are international real interest rate linkages characterized by asymmetric adjustments? pp. 384-396

Mark J. Holmes and Nabil Maghrebi

Volume 16, issue 3, 2006

On the conditional pricing effects of beta, size, and book-to-market equity in the Hong Kong market pp. 199-214

Ho, Ron Yiu-wah, Roger Strange and Jenifer Piesse

Bidder behavior in central bank repo auctions: Evidence from the Bundesbank pp. 215-230

Tobias Linzert, Dieter Nautz and Jorg Breitung

Relative performance of bid-ask spread estimators: Futures market evidence pp. 231-245

Amber Anand and Ahmet K. Karagozoglu

The impacts of index rebalancing and their implications: Some new evidence from Japan pp. 246-269

Shinhua Liu

Market timing wealth effects of American Depository Receipts: The cases of emerging and developed market issues pp. 270-282

Mark Schaub and Michael J. Highfield

Risk and return implications from investing in emerging European stock markets pp. 283-299

Theodore Constantine Syriopoulos

Volume 16, issue 2, 2006

Implied volatility linkages among major European currencies pp. 87-103

Jussi Nikkinen, Petri Sahlstrom and Sami Vähämaa

Performance comparison between exchange-traded funds and closed-end country funds pp. 104-122

Joel T. Harper, Jeff Madura and Oliver Schnusenberg

Does herding behavior exist in Chinese stock markets? pp. 123-142

RIza Demirer and Ali Kutan

Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan pp. 143-154

Dimitrios Sideris

The equity premium and market integration: Evidence from international data pp. 155-179

Joshua D. Shackman

Empirical analysis of GARCH models in value at risk estimation pp. 180-197

Mike K.P. So and Philip L.H. Yu

Volume 16, issue 1, 2006

Measuring and assessing the effects and extent of international bond market integration pp. 1-3

Brian M. Lucey and James M. Steeley

The performance and diversification benefits of funds of hedge funds pp. 4-22

Emily Denvir and Elaine Hutson

Volatility spillovers and dynamic correlation in European bond markets pp. 23-40

Vasiliki Skintzi and Apostolos N. Refenes

Dynamics of bond market integration between established and accession European Union countries pp. 41-56

Suk-Joong Kim, Brian M. Lucey and Eliza Wu

Factors affecting the yields of emerging market issuers: Evidence from the Asia-Pacific region pp. 57-70

Jonathan Andrew Batten, Thomas A. Fetherston and Pongsak Hoontrakul

Volatility transmission between stock and bond markets pp. 71-86

James M. Steeley