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 11, issue 2, 2001

Quote revision and information flow among foreign exchange dealers pp. 115-136

Wang, Jian-Xin

Liquidity and the turn-of-the-month effect: evidence from Finland pp. 137-146

G. Geoffrey Booth, Kallunki, Juha-Pekka and Teppo Martikainen

A test of the accuracy of the Lee/Ready trade classification algorithm pp. 147-165

Erik Theissen

Estimation for factor models of term structure of interest rates with jumps: the case of the Taiwanese government bond market pp. 167-197

Lin, Bing-Huei and Yeh, Shih-Kuo

On market efficiency of Asian foreign exchange rates: evidence from a joint variance ratio test and technical trading rules pp. 199-214

Chun . Lee, Pan, Ming-Shiun and Y. Angela Liu

GARCH modelling of individual stock data: the impact of censoring, firm size and trading volume pp. 215-222

Robert D. Brooks, Robert William Faff and Tim R.L. Fry

A model for determining mispricing of sovereign risk loans pp. 223-237

Thomas B. Sanders, W. Brian Barrett and Michael Palmer

Erratum to "The effect of interventions on realignment probabilities": [Journal of International Financial Markets, Institutions and Money 10 (2000) 323-347] pp. 239-240

B. Gabriela Mundaca

Volume 11, issue 1, 2001

Global equity styles and industry effects: the pre-eminence of value relative to size pp. 1-28

Weiyu Kuo and Stephen E. Satchell

The spot-forward relationship revisited: an ERM perspective pp. 29-52

Ronald MacDonald and Michael John Moore

Foreign bank penetration of newly opened markets in the Nordic countries pp. 53-63

Lars Engwall, Rolf Marquardt, Torben Pedersen and Adrian Tschoegl

Market changes and spread components, implications for international markets pp. 65-73

Thomas H. McInish, Bonnie F. Van Ness and Robert A. Van Ness

Inflation and rates of return on stocks: evidence from high inflation countries pp. 75-96

Taufiq Choudhry

Diversification gains from American depositary receipts and foreign equities: evidence from Australian stocks pp. 97-113

V. T. Alaganar and Ramaprasad Bhar

Volume 10, issue 3-4, 2000

Central bank intervention pp. 225-228

Richard T. Baillie

Foreign reserve and money dynamics with asset portfolio adjustment: international evidence pp. 229-247

Reuven Glick and Michael Mercier Hutchison

Stochastic intramarginal interventions in target zones pp. 249-262

Jose L. Torres

Bundesbank intervention effects through interest rate policy pp. 263-274

G. Geoffrey Booth, Fred R. Kaen, Gregory Koutmos and Heidemarie C. Sherman

Time-varying foreign-exchange risk and central bank intervention: estimating profits from intervention and speculation pp. 275-286

Boo Sjoo and Richard J. Sweeney

The United States as an informed foreign-exchange speculator pp. 287-302

Owen F. Humpage

Central bank intervention and exchange rates: the case of Sweden pp. 303-322

Javiera Aguilar and Stefan Nydahl

The effect of interventions on realignment probabilities pp. 323-347

B. Gabriela Mundaca

Central bank interventions and exchange rates: an analysis with high frequency data pp. 349-362

Claudio Morana and Andrea Beltratti

Deviations from daily uncovered interest rate parity and the role of intervention pp. 363-379

Richard T. Baillie and William P. Osterberg

Central bank intervention and exchange rate volatility -- Australian evidence pp. 381-405

Suk-Joong Kim, Tro Kortian and Jeffrey Sheen

Intervention from an information perspective pp. 407-421

Richard T. Baillie, Owen F. Humpage and William P. Osterberg

Volume 10, issue 2, 2000

Intraday and interday volatility in the Japanese stock market pp. 107-130

Torben G. Andersen, Tim Bollerslev and Jun Cai

Cross-sectional variations in the degree of global integration: the case of Russian equities pp. 131-150

Pavel Fedorov and Sergei Sarkissian

Limiting differences between forward and futures prices in a Lucas consumption model pp. 151-161

Zvi Wiener, Simon Benninga and Aris Protopapadakis

The fractal structure of exchange rates: measurement and forecasting pp. 163-180

Gordon R. Richards

Devaluation-risk-related peso problems in stock returns pp. 181-197

Aku Penttinen

Further evidence on alternative continuous time models of the short-term interest rate pp. 199-212

Athanasios Episcopos

A structural time series test of the monetary model of exchange rates under the German hyperinflation pp. 213-223

Imad A. Moosa

Volume 10, issue 1, 2000

Measuring the forward foreign exchange risk premium: multi-country evidence from unobserved components models pp. 1-8

Christian C. P. Wolff

Analysis of systemic risk in multilateral net settlement systems pp. 9-30

Sujit Chakravorti

Competition from the limit order book and NYSE spreads pp. 31-42

Lynn Phillips Kugele, Thomas H. McInish, Bonnie F. Van Ness and Robert A. Van Ness

Return behavior and pricing of American depositary receipts pp. 43-67

Dilip Kumar Patro

Testing for nonlinear Granger causality from fundamentals to exchange rates in the ERM pp. 69-82

Yue Ma and Angelos Kanas

An examination of causality and predictability between Australian domestic and offshore interest rates pp. 83-106

Albert Tan Hock Ann and Lakshman Alles

Volume 9, issue 4, 1999

Characteristics of the order flow through an electronic open limit order book pp. 335-357

Philip Brown, Nathanial Thomson and David Walsh

Long memory or structural breaks: can either explain nonstationary real exchange rates under the current float? pp. 359-376

Christopher Baum, John T. Barkoulas and Mustafa Caglayan

Assessing competitive conditions in the Greek banking system pp. 377-391

George Hondroyiannis, Sarantis Lolos and Evangelia Papapetrou

Cointegration analysis of the intensity of the ERM currencies under the European Monetary System pp. 393-405

Woo, Kai-Yin

Combining conditional volatility forecasts using neural networks: an application to the EMS exchange rates pp. 407-422

Michael Y. Hu and Christos Tsoukalas

Volume 9, issue 3, 1999

Banks recapitalization policies in Japan and their impact on the market pp. 223-246

Satoshi Daigo, Tatsuya Yonetani and Kouhei Marumo

A multivariate analysis of the determinants of Moody's bank financial strength ratings pp. 267-283

Winnie P. H. Poon, Michael Firth and Fung, Hung-Gay

The x-efficiency and allocative efficiency effects of credit union mergers pp. 285-301

Kaylee A. Garden and Deborah E. Ralston

Malmquist indices of productivity change in Australian financial services pp. 303-320

Andrew C. Worthington

A preliminary look at gains from asset securitization pp. 321-333

Hugh Thomas

Volume 9, issue 2, 1999

Asymmetric information and the bid-ask spread: an empirical comparison between automated order execution and open outcry auction pp. 115-128

Jianxin Wang

Local and global price memory of international stock markets pp. 129-147

Johan Knif and Seppo Pynnonen

The information in the Mexican term structure of interest rates: capital market implications pp. 149-161

Jorge Gonzalez, Roger Spencer and Daniel Walz

Factor price misspecification in bank cost function estimation pp. 163-182

Dean Clarence Mountain and Hugh Thomas

A test of purchasing power parity for emerging economies pp. 183-193

Mehdi Salehizadeh and Robert Taylor

Volume 9, issue 1, 1999

Modeling asset market volatility in a small market:: Accounting for non-synchronous trading effects pp. 1-18

Stephen Lange

A monetary policy feedback rule in Korea's fast-growing economy pp. 19-31

Michael J. Dueker and Gyuhan Kim

The dynamic relationship of volatility, volume, and market depth in currency futures markets pp. 33-59

Fung, Hung-Gay and Gary A. Patterson

Causal relations among stock returns and macroeconomic variables in a small, open economy pp. 61-74

Oystein Gjerde and Frode Sættem