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Applied Financial Economics

1991 - 2008

Edited by Mark P. Taylor

from Taylor and Francis Journals
Series data maintained by Christopher F. Baum ().

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Volume 18, issue 7, 2008

Changing-regime volatility: a fractionally integrated SETAR model pp. 519-526 Downloads
Gilles Dufrénot, Dominique Guégan and Péguin-Feissolle, Anne
A new test for simultaneous estimation of unit roots and GARCH risk in the presence of stationary conditional heteroscedasticity disturbances pp. 527-558 Downloads
Pär Sjölander
The financial structure of nonlisted firms pp. 559-568 Downloads
Suzan Hol and Nico Van der Wijst
Volatility amongst firms in the Dow Jones Eurostoxx50 Index pp. 569-582 Downloads
Xuan Vinh Vo and Kevin Daly
An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach pp. 583-597 Downloads
Eduardo Roca and Victor Wong
Do common volatility models capture cyclical behaviour in volatility? pp. 599-604 Downloads
Adam Clements and Jérôme Collet

Volume 18, issue 6, 2008

Asia-Pacific banks risk exposures: pre and post the Asian financial crisis pp. 431-449 Downloads
Hue Hwa Au Yong and Robert William Faff
The New Zealand market's relationship with Australia and Pacific-Basin share markets: is New Zealand converging with Australia? pp. 451-462 Downloads
Patricia Fraser, Lynn McAlevey and Matthew Tayler
Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models pp. 463-483 Downloads
Akgül, Isıl and Hülya Sayyan
The performance evaluation for fund of funds by comparing asset allocation of mean-variance model or genetic algorithms to that of fund managers pp. 485-501 Downloads
Syouching Lai and Hungchih Li
An eclectic approach to currency crises: drawing lessons from the EMS experience pp. 503-519 Downloads
Pérez-Bermejo, Francisco, Sosvilla-Rivero, Simón and Maroto-Illera, Reyes

Volume 18, issue 5, 2008

Economies of scale and scope in China's banking sector pp. 345-356 Downloads
Xiaoqing Fu and Shelagh Heffernan
Forecasting economic time series with the DyFor genetic program model pp. 357-378 Downloads
Neal Wagner, Moutaz Khouja, Zbigniew Michalewicz and Rob Roy McGregor
Skewness preference, value and size effects pp. 379-386 Downloads
Suchismita Mishra, Richard DeFusco and Arun Prakash
Does currency crisis identification matter? pp. 387-395 Downloads
S. DeVicerte, P. Álvarez, J. Pérez and C. Caso
Testing unitary and bargaining models of Chinese household food consumption pp. 397-410 Downloads
Jason Dietrich
The mean/volatility asymmetry in Asian stock markets pp. 411-419 Downloads
Liau, Yung-Shi and Jack Yang
Foreign investment, regulation, volatility spillovers between the futures and spot markets: evidence from Taiwan pp. 421-430 Downloads
Kuo, Wen-Hsiu, Hsinan Hsu and Chiang, Min-Hsien

Volume 18, issue 4, 2008

The finance-specialization-growth nexus: evidence from OECD countries pp. 255-265 Downloads
Franz Hahn
Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion pp. 267-273 Downloads
Sivagowry Sriananthakumar and Param Silvapulle
Beyond greed, fear and the iron curtain pp. 275-293 Downloads
Robert Durand and Marta Simon
Japanese stock movements from 1991 to 2005: evidence from high- and low-frequency data pp. 295-307 Downloads
Jun Nagayasu
Financial analysts' stock recommendation revisions and stock price changes pp. 309-325 Downloads
Chang, Yung-Ho and Chan, Chia-Chung
An empirical study of interest rate determination rules pp. 327-343 Downloads
Keshab Bhattarai

Volume 18, issue 3, 2008

The short-run wealth effects of foreign divestitures by UK firms pp. 173-184 Downloads
Jerry Coakley, Hardy Thomas and Wang, Han-Min
Value performance of European bank acquisitions pp. 185-198 Downloads
Robert Lensink and Iryna Maslennikova
Financial crisis and sectoral diversification of Argentine banks, 1999-2004 pp. 199-211 Downloads
Ricardo Bebczuk and Arturo Galindo
Evaluating density forecasts of the model with a conditional skewed-t distribution for China's stock markets pp. 213-227 Downloads
Xiao-Ming Li and Qing Xu
Benefiting from diversity in Middle Eastern stock markets pp. 229-237 Downloads
Naser Abumustafa
Extreme returns and the contagion effect between the foreign exchange and the stock market: evidence from Cyprus pp. 239-254 Downloads
Stelios Bekiros and Dimitris Georgoutsos

Volume 18, issue 2, 2008

Do country or firm factors explain capital structure? Evidence from SMEs in France and Greece pp. 87-97 Downloads
Nikolaos Daskalakis and Maria Psillaki
Market integration and extreme co-movements in APEC emerging equity markets pp. 99-113 Downloads
Xiao-Ming Li and Lawrence C. Rose
Sudden shifts in variance in the Spanish market: persistence and spillover effects pp. 115-124 Downloads
José Luis Miralles Marcelo, José Luis Miralles Quirós and María del Mar Miralles Quirós
Does idiosyncratic risk matter? Evidence from European stock markets pp. 125-137 Downloads
Timotheos Angelidis and Nikolaos Tessaromatis
Why does the correlation between stock and bond returns vary over time? pp. 139-151 Downloads
Magnus Andersson, Elizaveta Krylova and Sami Vähämaa
The relationship between charter value and bank market concentration: the influence of regulations and institutions pp. 153-172 Downloads
González-Rodríguez, Francisco

Volume 18, issue 1, 2008

Measuring bank profit efficiency pp. 1-8 Downloads
Trevor Fitzpatrick and Kieran McQuinn
Underpricing in Chinese IPOs-some recent evidence pp. 9-22 Downloads
Haini Deng and Gregor Dorfleitner
Declared investment plans and IPO firm value pp. 23-39 Downloads
Paula Hill
Risk premium: insights over the threshold pp. 41-59 Downloads
José Fernandes, Augusto Hasman and Juan Ignacio Peña
Regulation and systematic risk: the case of the water industry in England and Wales pp. 61-73 Downloads
Gioia Pescetto
Re-examining purchasing power parity for East-Asian currencies: 1976-2002 pp. 75-85 Downloads
Ahmad Zubaidi Baharumshah, Chan Tze Haw and Stilianos Fountas

Volume 17, issue 18, 2007

Security transaction taxes and financial volatility: Athens stock exchange pp. 1455-1467 Downloads
Kate Phylaktis and Antonis Aristidou
Improving the accuracy of forward exchange rate forecasts by correcting for prior bias pp. 1469-1478 Downloads
Robert Kremer and Sherrill Shaffer
A rolling MTAR model to test for efficient stock pricing and asymmetric adjustment pp. 1479-1487 Downloads
Andreas Behr
The economic and predictive value of trading volume growth: a tale of three moments pp. 1489-1509 Downloads
Boyce Watkins
Testing the performance of value strategies in the Athens Stock Exchange pp. 1511-1528 Downloads
Dimitris Kyriazis and George Diacogiannis
Testing financial liberalization hypothesis with ARDL modelling approach pp. 1529-1540 Downloads
Min B. Shrestha and Khorshed Chowdhury

Volume 17, issue 17, 2007

Interest rate pass through and asymmetries in adjustable rate mortgages pp. 1369-1376 Downloads
James Payne
A market microstructure analysis of the Canadian dollar depreciation episodes in the 1990s pp. 1377-1387 Downloads
Nikola Gradojevic
A naturally controlled experiment of managerial transition: sprint corporation's transfer of Len Lauer from President of FON to President of PCS pp. 1389-1392 Downloads
Karyl Leggio and Stephen Pruitt
Time-varying volatility and equity returns in Bangladesh stock market pp. 1393-1407 Downloads
Syed A. Basher, M. Kabir Hassan and Anisul Islam
International momentum effects: a reappraisal of empirical evidence pp. 1409-1420 Downloads
Pan, Ming-Shiun and L. Paul Hsueh
Volatility forecasts: the role of asymmetric and long-memory dynamics and regional evidence pp. 1421-1430 Downloads
Twm Evans and David McMillan
Has entry to the European Union altered the dynamic links of stock returns for the emerging markets? pp. 1431-1446 Downloads
Tomoe Moore
The day-of-the-week effect in the Athens Stock Exchange (ASE) pp. 1447-1454 Downloads
Nickolaos Tsangarakis

Volume 17, issue 16, 2007

International linkages of the Chinese futures markets pp. 1275-1287 Downloads
Renhai Hua and Baizhu Chen
The effect of country risk ratings on market returns pp. 1289-1299 Downloads
Oliver Schnusenberg, Jeff Madura and Kimberly Gleason
Are mutual fund investors in jail? pp. 1301-1312 Downloads
Carlos Alves and Victor Mendes
Testing for stock market bubbles using nonlinear models and fractional integration pp. 1313-1321 Downloads
J. Cuñado, Gil-Alana, L. A. and F. Perez de Gracia
Ownership structure, control and firm performance: the effects of vote-differentiated shares pp. 1323-1334 Downloads
Bjuggren, Per-Olof, Johan Eklund and Daniel Wiberg
Shell companies as IPO alternatives: an analysis of trading activity around reverse mergers pp. 1335-1347 Downloads
Murat Aydogdu, Chander Shekhar and Violet Torbey
On the convergence of the Chinese and Hong Kong stock markets: a cointegration analysis of the A and H shares pp. 1349-1357 Downloads
Qian Su, Terence Tai Leung Chong and Yan, Isabel Kit-Ming
Measuring investment skills of fund managers pp. 1359-1368 Downloads
Choong Tze Chua and Winston T.H. Koh

Volume 17, issue 15, 2007

Price clustering in the CAC 40 index options market pp. 1201-1210 Downloads
Gunther CAPELLE-BLANCARD and Mo Chaudhury
Returns to trading portfolios of FTSE 100 index options pp. 1211-1225 Downloads
Xiaoquan Liu
Computing the divisional cost of capital using the pure-play method pp. 1227-1231 Downloads
Henry Collier, Timothy Grai, Steve Haslitt and Carl McGowan
Strategic objectives, industry structure and the long-term stock price performance of acquiring and rival firms pp. 1233-1244 Downloads
M. Mark Walker and Hsu, Chi-Sheng
Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility pp. 1245-1250 Downloads
Prof. Abdulnasser Hatemi-J and Bryan Morgan
Optimal forecasting model selection and data characteristics pp. 1251-1264 Downloads
Robert Fildes, Gary Madden and Joachim Tan
Holding periods, illiquidity and disposition effect in the Chinese stock markets pp. 1265-1274 Downloads
Nuttawat Visaltanachoti, Hang Luo and Lin Lu

Volume 17, issue 14, 2007

Reconsidering the impossibility of informationally efficient markets pp. 1113-1122 Downloads
Karl Ludwig Keiber
Using volume to forecast stock market volatility around the time of the 1929 crash pp. 1123-1128 Downloads
Bradley Ewing, Mark Thompson and Mark Yanochik
Financial structure and economic growth: the role of heterogeneity pp. 1129-1139 Downloads
Karl Pinno and Apostolos Serletis
An empirical analysis of structural models of corporate debt pricing pp. 1141-1165 Downloads
Joao C. A. Teixeira
Portfolio performance: factors or benchmarks? pp. 1167-1178 Downloads
Matallin-Saez, Juan
SEOs in a 'Hot Market': evidence of timing pp. 1179-1190 Downloads
Sandra Cohen, Afroditi Papadaki and Georgia Siougle
Investment and cash flow: evidence for asymmetries in European manufacturing pp. 1191-1200 Downloads
Konstantinos Drakos and Christos Kallandranis

Volume 17, issue 13, 2007

Tax-loss selling and seasonal effects in the UK pp. 1027-1035 Downloads
Qiwei Chen, Lisa Jack and Andrew Wood
The volatility effects of nontrading for stock market returns pp. 1037-1041 Downloads
Tyler J. VanderWeele
Are economic tracking portfolios useful for forecasting output and inflation in Austria? pp. 1043-1049 Downloads
Burkhard Raunig
Forecasting volatility in the financial markets: a comparison of alternative distributional assumptions pp. 1051-1060 Downloads
Chuang, I.-Yuan, Lu, Jin-Ray and Lee, Pei-Hsuan
Are credit ratings valuable information? pp. 1061-1070 Downloads
Dirk Czarnitzki and Kornelius Kraft
Using financial ratios to differentiate domestic and multinational corporations pp. 1071-1074 Downloads
Carl B. McGowan
Nonfundamentals and value returns pp. 1075-1083 Downloads
Kevin C. H. Chiang, Kirill Kozhevnikov and Craig H. Wisen
What macro-innovation risks really are priced in Japan? pp. 1085-1099 Downloads
Chikashi Tsuji
The overreaction hypothesis in the UK market: empirical analysis pp. 1101-1111 Downloads
Khelifa Mazouz and Xiafei Li

Volume 17, issue 12, 2007

Monetary policy rules under a fixed exchange rate regime: empirical evidence from China pp. 941-950 Downloads
Shengzu Wang and Jagdish Handa
Testing for infrequent permanent shocks: is the US inflation rate stationary? pp. 951-960 Downloads
Roger A. Fujihara and Mbodja Mougoué
Does downside beta matter in asset pricing? pp. 961-978 Downloads
Christian S. Pedersen and Soosung Hwang
Disentangling the signalling and liquidity effects of stock splits pp. 979-987 Downloads
Sunil Mohanty and Doocheol Moon
Capital structure choice in European Union: evidence from the construction industry pp. 989-1002 Downloads
Andreas Feidakis and Antonios Rovolis
An alternative test for weak form efficiency based on technical analysis pp. 1003-1012 Downloads
Elaine Loh
The cash flow sensitivity of cash: evidence from Taiwan pp. 1013-1024 Downloads
Lin, Yi-Chen

Volume 17, issue 11, 2007

Designing deposit insurance scheme under asymmetric information with double liability option pp. 855-870 Downloads
Rafiqul Bhuyan and Yuxing Yan
The relationship between capital investment and R&D spending: a panel cointegration analysis pp. 871-880 Downloads
Pieter J. de Jong
Does foreign ownership foster bank performance? pp. 881-885 Downloads
Robert Lensink and Ilko Naaborg
Bid-ask spread, strike prices and risk-neutral densities pp. 887-900 Downloads
Xiaoquan Liu
Assessments of the program for financial revival of the Japanese banks pp. 901-912 Downloads
Tatsuyoshi Miyakoshi and Yoshihiko Tsukuda
Intraday pattern in liquidity covariation: evidence from NYSE listed firms pp. 913-919 Downloads
Mohsen M. Saad and Ali F. Darrat
Implicit bands in the Spanish peseta/Deutschmark exchange rate, 1965-1998 pp. 921-932 Downloads
Ledesma-Rodríguez, Francisco, Navarro-Ibáñez, Manuel, Pérez-Rodríguez, Jorge and Simon Sosvilla-Rivero
Asset pricing models: a comparison pp. 933-940 Downloads
Edward R. Lawrence, John Geppert and Arun J. Prakash

Volume 17, issue 10, 2007

Are commodity prices mean reverting? pp. 769-783 Downloads
Henrik Andersson
The impact of family ownership and dual class shares on takeover risk pp. 785-804 Downloads
Martin Holmen and E. Nivorozhkin
Stock return dynamics and stock market interdependencies pp. 805-825 Downloads
Ekaterini Tsouma
Equity market price interdependence based on bootstrap causality tests: evidence from Australia and its major trading partners pp. 827-835 Downloads
Prof. Abdulnasser Hatemi-J and Eduardo Dacillo Roca
Inter-day return and volatility dynamics between Japanese ADRs and their underlying securities pp. 837-853 Downloads
Sheng-Yung Yang

Volume 17, issue 9, 2007

Hedging effectiveness and futures contract maturity: the case of NYMEX crude oil futures pp. 683-689 Downloads
Ronald D. Ripple and Imad A. Moosa
Does market maker competition affect the response to insider trading? pp. 691-700 Downloads
Katherine Gleason
Momentum returns and size of winner and loser portfolios pp. 701-708 Downloads
Antonios Siganos
Fractional integration in the equity markets of MENA region pp. 709-723 Downloads
A. Assaf
Bivariate and higher-order terms in models of international equity returns pp. 725-737 Downloads
Kirt Butler and Katsushi Okada
Spanning tests for options using principal components methods pp. 739-746 Downloads
Charlotte S. Hansen and Bjorn E. Tuypens
REIT markets and rational speculative bubbles: an empirical investigation pp. 747-753 Downloads
George A. Waters and James E. Payne
A reassessment of market power among credit card banks pp. 755-767 Downloads
Sherrill Shaffer and Lorein Thomas

Volume 17, issue 8, 2007

The disappearance of style in the US equity market pp. 597-613 Downloads
Soosung Hwang and Stephen E. Satchell
The target cash rate and its impact on investment asset returns in Australia pp. 615-633 Downloads
Jenny Diggle and Robert Brooks
The causal modelling on equity market innovations: fit or forecast? pp. 635-646 Downloads
Jin Woong Kim and David A. Bessler
Discretized time and conditional duration modelling for stock transaction data pp. 647-658 Downloads
Kurt Brännäs and Ola Simonsen
Volatility transmission across markets: a Multichain Markov Switching model pp. 659-670 Downloads
Giampiero M. Gallo and Edoardo Otranto
Sampling properties of criteria for evaluating GARCH volatility forecasts pp. 671-681 Downloads
Yasemin Ulu

Volume 17, issue 7, 2007

How do you straddle hogs and pigs? Ask the Greeks! pp. 511-520 Downloads
Andrew McKenzie, Michael Thomsen and Josh Phelan
Determinants of the underpricing of new shares during the subscription period: empirical evidence from the Spanish stock exchange pp. 521-540 Downloads
Consuelo Riaño, Fco. Javier Ruiz and Rafael Santamaría
The substitutability of REITs and value stocks pp. 541-557 Downloads
Stephen Lee and Simon Stevenson
Private placements of common equity and the industry rival response pp. 559-568 Downloads
Scott Besley, Ninon Kohers and Tanja Steigner
Are implied volatilities more informative? The Brazilian real exchange rate case pp. 569-576 Downloads
Eui Jung Chang and Benjamin Miranda Tabak
Takeover-divestiture combinations and shareholder wealth pp. 577-586 Downloads
Christopher J. Marquette and Thomas G. E. Williams
Random walks in Middle Eastern stock markets pp. 587-596 Downloads
Graham Smith

Volume 17, issue 6, 2007

Shrunken interest rate forecasts are better forecasts pp. 425-430 Downloads
Dorsey-Palmateer, Reid and Gary Smith
Efficiency in the eurobond market: application of nonparametric techniques pp. 431-444 Downloads
Bonilla-Musoles, María, García-Menéndez, Leandro and Martí-Selva, Ma Luisa
Compromise programming calibration for financial analysis of firms of a common sector of business, case study for a set of Spanish banks in 1995 pp. 445-461 Downloads
Jose Antón, Juan Grau and Elena Sánchez
A structural time series test of the P-star model: evidence from the middle east pp. 463-467 Downloads
George Tawadros
The stock market crisis and momentum. Some evidence for the Spanish stock market during the 1990s pp. 469-486 Downloads
Luis Muga and Rafael Santamaría
Interest rate margins: a decomposition of dynamic oligopolistic conduct and market fundamentals pp. 487-499 Downloads
Emanuel Barnea and Moshe Kim
The price effects of FTSE 100 index revision: what drives the long-term abnormal return reversal? pp. 501-510 Downloads
Khelifa Mazouz and Brahim Saadouni

Volume 17, issue 5, 2007

Execution edge of pit traders and intraday price ranges of soft commodities pp. 343-350 Downloads
Igor Kliakhandler
Measurement of insider trading in wagering markets pp. 351-356 Downloads
Les Coleman
Is volatility risk priced after all? Some disconfirming evidence pp. 357-368 Downloads
Geoffrey Loudon and Alan Rai
Dynamic analysis between the US stock returns and the macroeconomic variables pp. 369-377 Downloads
Orawan Ratanapakorn and Subhash Sharma
Execution costs of dual listed Australian stocks pp. 379-389 Downloads
Subhrendu Rath
The monetary model of the exchange rate and equities: an ARDL bounds testing approach pp. 391-397 Downloads
Bruce Morley
Are international equity markets really asymmetric? pp. 399-411 Downloads
Colm Kearney and Margaret Lynch
The impact of stock incremental information on the volatility of the Athens stock exchange pp. 413-424 Downloads
Panayiotis Diamandis, Anastassios Drakos and Argyrios Volis

Volume 17, issue 4, 2007

Dynamic interactions between private investment and the stock market: evidence from cointegration and error correction models pp. 257-269 Downloads
Nikiforos Laopodis and Bansi Sawhney
Information asymmetry and valuation uncertainty, the determination of China's IPO allocation procedures pp. 271-284 Downloads
Shiguang Ma
International linkages of the Chinese stock exchanges: a multivariate GARCH analysis pp. 285-297 Downloads
Hong Li
Market vs. analysts reaction: the effect of aggregate and firm-specific news pp. 299-312 Downloads
Michele Bagella, Leonardo Becchetti and Rocco Ciciretti
Estimates of the ICAPM with regime-switching betas: evidence from four pacific rim economies pp. 313-327 Downloads
Chen, Shyh-Wei and Huang, Nai-Chuan
Financial characteristics of banks involved in acquisitions: evidence from Asia pp. 329-341 Downloads
Fotios Pasiouras and Chrysovalantis Gaganis

Volume 17, issue 3, 2007

Daily weather effects on the returns of Australian stock indices pp. 173-184 Downloads
Stephen Keef and Melvin Roush
Domestic mergers in the Austrian banking sector: a performance analysis pp. 185-196 Downloads
Franz Hahn
Contagion in emerging markets: the Russian crisis pp. 197-213 Downloads
Elvira Sojli
Cross-autocorrelation in the New Zealand stock market pp. 215-219 Downloads
Daniel Choi and Xin Zhao
Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange pp. 221-235 Downloads
Spyros Spyrou, Konstantinos Kassimatis and Emilios Galariotis
Significance of risk modelling in the term structure of interest rates pp. 237-247 Downloads
George Emm. Halkos and Stephanos T. Papadamou
Trading foreign exchange portfolios with volatility filters: the carry model revisited pp. 249-255 Downloads
Christian Dunis and Jia Miao

Volume 17, issue 2, 2007

Trade intensity in the Russian stock market: dynamics, distribution and determinants pp. 87-104 Downloads
Stanislav Anatolyev and Dmitry Shakin
On the relationship between nominal exchange rates and domestic and foreign prices pp. 105-117 Downloads
Ivan Paya and David A. Peel
Banks’ riskiness over the business cycle: a panel analysis on Italian intermediaries pp. 119-138 Downloads
Mario Quagliariello
The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market pp. 139-148 Downloads
Evangelos Drimbetas, Nikolaos Sariannidis and Nicos Porfiris
Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models pp. 149-171 Downloads
Stavros Degiannakis and Evdokia Xekalaki

Volume 17, issue 1, 2007

Monetary policy rules in practice: evidence from Turkey and Israel pp. 1-8 Downloads
Ege Yazgan and Hakan Yilmazkuday
Euro area inflation: long-run determinants and short-run dynamics pp. 9-24 Downloads
Melisso Boschi and Alessandro Girardi
The internal and cross market efficiency in index option markets: an investigation of the Italian market pp. 25-33 Downloads
Marianna Brunetti and Costanza Torricelli
An analysis of private investors’ stock market return forecasts pp. 35-43 Downloads
Erik Theissen
Overreaction: the sensitivity of defining the duration of the formation period pp. 45-61 Downloads
Walid Saleh
Banking regulation, information asymmetries and industry growth: new evidence pp. 63-76 Downloads
Natalia Utrero-González
Forecasting the term structure of interest rates for Turkey: a factor analysis approach pp. 77-85 Downloads
C. Emre Alper, K. Kazimov and A. Akdemir
Page updated 2008-04-13