Applied Financial Economics

1991 - 2008

Edited by Mark P. Taylor

from Taylor and Francis Journals
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Volume 18, issue 7, 2008

Changing-regime volatility: a fractionally integrated SETAR model pp. 519-526

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

Pär Sjölander

The financial structure of nonlisted firms pp. 559-568

Suzan Hol and Nico Van der Wijst

Volatility amongst firms in the Dow Jones Eurostoxx50 Index pp. 569-582

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

Eduardo Roca and Victor Wong

Do common volatility models capture cyclical behaviour in volatility? pp. 599-604

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

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

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

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

Syouching Lai and Hungchih Li

An eclectic approach to currency crises: drawing lessons from the EMS experience pp. 503-519

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

Xiaoqing Fu and Shelagh Heffernan

Forecasting economic time series with the DyFor genetic program model pp. 357-378

Neal Wagner, Moutaz Khouja, Zbigniew Michalewicz and Rob Roy McGregor

Skewness preference, value and size effects pp. 379-386

Suchismita Mishra, Richard DeFusco and Arun Prakash

Does currency crisis identification matter? pp. 387-395

S. DeVicerte, P. Álvarez, J. Pérez and C. Caso

Testing unitary and bargaining models of Chinese household food consumption pp. 397-410

Jason Dietrich

The mean/volatility asymmetry in Asian stock markets pp. 411-419

Liau, Yung-Shi and Jack Yang

Foreign investment, regulation, volatility spillovers between the futures and spot markets: evidence from Taiwan pp. 421-430

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

Franz Hahn

Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion pp. 267-273

Sivagowry Sriananthakumar and Param Silvapulle

Beyond greed, fear and the iron curtain pp. 275-293

Robert Durand and Marta Simon

Japanese stock movements from 1991 to 2005: evidence from high- and low-frequency data pp. 295-307

Jun Nagayasu

Financial analysts' stock recommendation revisions and stock price changes pp. 309-325

Chang, Yung-Ho and Chan, Chia-Chung

An empirical study of interest rate determination rules pp. 327-343

Keshab Bhattarai

Volume 18, issue 3, 2008

The short-run wealth effects of foreign divestitures by UK firms pp. 173-184

Jerry Coakley, Hardy Thomas and Wang, Han-Min

Value performance of European bank acquisitions pp. 185-198

Robert Lensink and Iryna Maslennikova

Financial crisis and sectoral diversification of Argentine banks, 1999-2004 pp. 199-211

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

Xiao-Ming Li and Qing Xu

Benefiting from diversity in Middle Eastern stock markets pp. 229-237

Naser Abumustafa

Extreme returns and the contagion effect between the foreign exchange and the stock market: evidence from Cyprus pp. 239-254

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

Nikolaos Daskalakis and Maria Psillaki

Market integration and extreme co-movements in APEC emerging equity markets pp. 99-113

Xiao-Ming Li and Lawrence C. Rose

Sudden shifts in variance in the Spanish market: persistence and spillover effects pp. 115-124

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

Timotheos Angelidis and Nikolaos Tessaromatis

Why does the correlation between stock and bond returns vary over time? pp. 139-151

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

González-Rodríguez, Francisco

Volume 18, issue 1, 2008

Measuring bank profit efficiency pp. 1-8

Trevor Fitzpatrick and Kieran McQuinn

Underpricing in Chinese IPOs-some recent evidence pp. 9-22

Haini Deng and Gregor Dorfleitner

Declared investment plans and IPO firm value pp. 23-39

Paula Hill

Risk premium: insights over the threshold pp. 41-59

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

Gioia Pescetto

Re-examining purchasing power parity for East-Asian currencies: 1976-2002 pp. 75-85

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

Kate Phylaktis and Antonis Aristidou

Improving the accuracy of forward exchange rate forecasts by correcting for prior bias pp. 1469-1478

Robert Kremer and Sherrill Shaffer

A rolling MTAR model to test for efficient stock pricing and asymmetric adjustment pp. 1479-1487

Andreas Behr

The economic and predictive value of trading volume growth: a tale of three moments pp. 1489-1509

Boyce Watkins

Testing the performance of value strategies in the Athens Stock Exchange pp. 1511-1528

Dimitris Kyriazis and George Diacogiannis

Testing financial liberalization hypothesis with ARDL modelling approach pp. 1529-1540

Min B. Shrestha and Khorshed Chowdhury

Volume 17, issue 17, 2007

Interest rate pass through and asymmetries in adjustable rate mortgages pp. 1369-1376

James Payne

A market microstructure analysis of the Canadian dollar depreciation episodes in the 1990s pp. 1377-1387

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

Karyl Leggio and Stephen Pruitt

Time-varying volatility and equity returns in Bangladesh stock market pp. 1393-1407

Syed A. Basher, M. Kabir Hassan and Anisul Islam

International momentum effects: a reappraisal of empirical evidence pp. 1409-1420

Pan, Ming-Shiun and L. Paul Hsueh

Volatility forecasts: the role of asymmetric and long-memory dynamics and regional evidence pp. 1421-1430

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

Tomoe Moore

The day-of-the-week effect in the Athens Stock Exchange (ASE) pp. 1447-1454

Nickolaos Tsangarakis

Volume 17, issue 16, 2007

International linkages of the Chinese futures markets pp. 1275-1287

Renhai Hua and Baizhu Chen

The effect of country risk ratings on market returns pp. 1289-1299

Oliver Schnusenberg, Jeff Madura and Kimberly Gleason

Are mutual fund investors in jail? pp. 1301-1312

Carlos Alves and Victor Mendes

Testing for stock market bubbles using nonlinear models and fractional integration pp. 1313-1321

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

Bjuggren, Per-Olof, Johan Eklund and Daniel Wiberg

Shell companies as IPO alternatives: an analysis of trading activity around reverse mergers pp. 1335-1347

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

Qian Su, Terence Tai Leung Chong and Yan, Isabel Kit-Ming

Measuring investment skills of fund managers pp. 1359-1368

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

Gunther CAPELLE-BLANCARD and Mo Chaudhury

Returns to trading portfolios of FTSE 100 index options pp. 1211-1225

Xiaoquan Liu

Computing the divisional cost of capital using the pure-play method pp. 1227-1231

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

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

Prof. Abdulnasser Hatemi-J and Bryan Morgan

Optimal forecasting model selection and data characteristics pp. 1251-1264

Robert Fildes, Gary Madden and Joachim Tan

Holding periods, illiquidity and disposition effect in the Chinese stock markets pp. 1265-1274

Nuttawat Visaltanachoti, Hang Luo and Lin Lu

Volume 17, issue 14, 2007

Reconsidering the impossibility of informationally efficient markets pp. 1113-1122

Karl Ludwig Keiber

Using volume to forecast stock market volatility around the time of the 1929 crash pp. 1123-1128

Bradley Ewing, Mark Thompson and Mark Yanochik

Financial structure and economic growth: the role of heterogeneity pp. 1129-1139

Karl Pinno and Apostolos Serletis

An empirical analysis of structural models of corporate debt pricing pp. 1141-1165

Joao C. A. Teixeira

Portfolio performance: factors or benchmarks? pp. 1167-1178

Matallin-Saez, Juan

SEOs in a 'Hot Market': evidence of timing pp. 1179-1190

Sandra Cohen, Afroditi Papadaki and Georgia Siougle

Investment and cash flow: evidence for asymmetries in European manufacturing pp. 1191-1200

Konstantinos Drakos and Christos Kallandranis

Volume 17, issue 13, 2007

Tax-loss selling and seasonal effects in the UK pp. 1027-1035

Qiwei Chen, Lisa Jack and Andrew Wood

The volatility effects of nontrading for stock market returns pp. 1037-1041

Tyler J. VanderWeele

Are economic tracking portfolios useful for forecasting output and inflation in Austria? pp. 1043-1049

Burkhard Raunig

Forecasting volatility in the financial markets: a comparison of alternative distributional assumptions pp. 1051-1060

Chuang, I.-Yuan, Lu, Jin-Ray and Lee, Pei-Hsuan

Are credit ratings valuable information? pp. 1061-1070

Dirk Czarnitzki and Kornelius Kraft

Using financial ratios to differentiate domestic and multinational corporations pp. 1071-1074

Carl B. McGowan

Nonfundamentals and value returns pp. 1075-1083

Kevin C. H. Chiang, Kirill Kozhevnikov and Craig H. Wisen

What macro-innovation risks really are priced in Japan? pp. 1085-1099

Chikashi Tsuji

The overreaction hypothesis in the UK market: empirical analysis pp. 1101-1111

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

Shengzu Wang and Jagdish Handa

Testing for infrequent permanent shocks: is the US inflation rate stationary? pp. 951-960

Roger A. Fujihara and Mbodja Mougoué

Does downside beta matter in asset pricing? pp. 961-978

Christian S. Pedersen and Soosung Hwang

Disentangling the signalling and liquidity effects of stock splits pp. 979-987

Sunil Mohanty and Doocheol Moon

Capital structure choice in European Union: evidence from the construction industry pp. 989-1002

Andreas Feidakis and Antonios Rovolis

An alternative test for weak form efficiency based on technical analysis pp. 1003-1012

Elaine Loh

The cash flow sensitivity of cash: evidence from Taiwan pp. 1013-1024

Lin, Yi-Chen

Volume 17, issue 11, 2007

Designing deposit insurance scheme under asymmetric information with double liability option pp. 855-870

Rafiqul Bhuyan and Yuxing Yan

The relationship between capital investment and R&D spending: a panel cointegration analysis pp. 871-880

Pieter J. de Jong

Does foreign ownership foster bank performance? pp. 881-885

Robert Lensink and Ilko Naaborg

Bid-ask spread, strike prices and risk-neutral densities pp. 887-900

Xiaoquan Liu

Assessments of the program for financial revival of the Japanese banks pp. 901-912

Tatsuyoshi Miyakoshi and Yoshihiko Tsukuda

Intraday pattern in liquidity covariation: evidence from NYSE listed firms pp. 913-919

Mohsen M. Saad and Ali F. Darrat

Implicit bands in the Spanish peseta/Deutschmark exchange rate, 1965-1998 pp. 921-932

Ledesma-Rodríguez, Francisco, Navarro-Ibáñez, Manuel, Pérez-Rodríguez, Jorge and Simon Sosvilla-Rivero

Asset pricing models: a comparison pp. 933-940

Edward R. Lawrence, John Geppert and Arun J. Prakash

Volume 17, issue 10, 2007

Are commodity prices mean reverting? pp. 769-783

Henrik Andersson

The impact of family ownership and dual class shares on takeover risk pp. 785-804

Martin Holmen and E. Nivorozhkin

Stock return dynamics and stock market interdependencies pp. 805-825

Ekaterini Tsouma

Equity market price interdependence based on bootstrap causality tests: evidence from Australia and its major trading partners pp. 827-835

Prof. Abdulnasser Hatemi-J and Eduardo Dacillo Roca

Inter-day return and volatility dynamics between Japanese ADRs and their underlying securities pp. 837-853

Sheng-Yung Yang

Volume 17, issue 9, 2007

Hedging effectiveness and futures contract maturity: the case of NYMEX crude oil futures pp. 683-689

Ronald D. Ripple and Imad A. Moosa

Does market maker competition affect the response to insider trading? pp. 691-700

Katherine Gleason

Momentum returns and size of winner and loser portfolios pp. 701-708

Antonios Siganos

Fractional integration in the equity markets of MENA region pp. 709-723

A. Assaf

Bivariate and higher-order terms in models of international equity returns pp. 725-737

Kirt Butler and Katsushi Okada

Spanning tests for options using principal components methods pp. 739-746

Charlotte S. Hansen and Bjorn E. Tuypens

REIT markets and rational speculative bubbles: an empirical investigation pp. 747-753

George A. Waters and James E. Payne

A reassessment of market power among credit card banks pp. 755-767

Sherrill Shaffer and Lorein Thomas

Volume 17, issue 8, 2007

The disappearance of style in the US equity market pp. 597-613

Soosung Hwang and Stephen E. Satchell

The target cash rate and its impact on investment asset returns in Australia pp. 615-633

Jenny Diggle and Robert Brooks

The causal modelling on equity market innovations: fit or forecast? pp. 635-646

Jin Woong Kim and David A. Bessler

Discretized time and conditional duration modelling for stock transaction data pp. 647-658

Kurt Brännäs and Ola Simonsen

Volatility transmission across markets: a Multichain Markov Switching model pp. 659-670

Giampiero M. Gallo and Edoardo Otranto

Sampling properties of criteria for evaluating GARCH volatility forecasts pp. 671-681

Yasemin Ulu

Volume 17, issue 7, 2007

How do you straddle hogs and pigs? Ask the Greeks! pp. 511-520

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

Consuelo Riaño, Fco. Javier Ruiz and Rafael Santamaría

The substitutability of REITs and value stocks pp. 541-557

Stephen Lee and Simon Stevenson

Private placements of common equity and the industry rival response pp. 559-568

Scott Besley, Ninon Kohers and Tanja Steigner

Are implied volatilities more informative? The Brazilian real exchange rate case pp. 569-576

Eui Jung Chang and Benjamin Miranda Tabak

Takeover-divestiture combinations and shareholder wealth pp. 577-586

Christopher J. Marquette and Thomas G. E. Williams

Random walks in Middle Eastern stock markets pp. 587-596

Graham Smith

Volume 17, issue 6, 2007

Shrunken interest rate forecasts are better forecasts pp. 425-430

Dorsey-Palmateer, Reid and Gary Smith

Efficiency in the eurobond market: application of nonparametric techniques pp. 431-444

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

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

George Tawadros

The stock market crisis and momentum. Some evidence for the Spanish stock market during the 1990s pp. 469-486

Luis Muga and Rafael Santamaría

Interest rate margins: a decomposition of dynamic oligopolistic conduct and market fundamentals pp. 487-499

Emanuel Barnea and Moshe Kim

The price effects of FTSE 100 index revision: what drives the long-term abnormal return reversal? pp. 501-510

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

Igor Kliakhandler

Measurement of insider trading in wagering markets pp. 351-356

Les Coleman

Is volatility risk priced after all? Some disconfirming evidence pp. 357-368

Geoffrey Loudon and Alan Rai

Dynamic analysis between the US stock returns and the macroeconomic variables pp. 369-377

Orawan Ratanapakorn and Subhash Sharma

Execution costs of dual listed Australian stocks pp. 379-389

Subhrendu Rath

The monetary model of the exchange rate and equities: an ARDL bounds testing approach pp. 391-397

Bruce Morley

Are international equity markets really asymmetric? pp. 399-411

Colm Kearney and Margaret Lynch

The impact of stock incremental information on the volatility of the Athens stock exchange pp. 413-424

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

Nikiforos Laopodis and Bansi Sawhney

Information asymmetry and valuation uncertainty, the determination of China's IPO allocation procedures pp. 271-284

Shiguang Ma

International linkages of the Chinese stock exchanges: a multivariate GARCH analysis pp. 285-297

Hong Li

Market vs. analysts reaction: the effect of aggregate and firm-specific news pp. 299-312

Michele Bagella, Leonardo Becchetti and Rocco Ciciretti

Estimates of the ICAPM with regime-switching betas: evidence from four pacific rim economies pp. 313-327

Chen, Shyh-Wei and Huang, Nai-Chuan

Financial characteristics of banks involved in acquisitions: evidence from Asia pp. 329-341

Fotios Pasiouras and Chrysovalantis Gaganis

Volume 17, issue 3, 2007

Daily weather effects on the returns of Australian stock indices pp. 173-184

Stephen Keef and Melvin Roush

Domestic mergers in the Austrian banking sector: a performance analysis pp. 185-196

Franz Hahn

Contagion in emerging markets: the Russian crisis pp. 197-213

Elvira Sojli

Cross-autocorrelation in the New Zealand stock market pp. 215-219

Daniel Choi and Xin Zhao

Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange pp. 221-235

Spyros Spyrou, Konstantinos Kassimatis and Emilios Galariotis

Significance of risk modelling in the term structure of interest rates pp. 237-247

George Emm. Halkos and Stephanos T. Papadamou

Trading foreign exchange portfolios with volatility filters: the carry model revisited pp. 249-255

Christian Dunis and Jia Miao

Volume 17, issue 2, 2007

Trade intensity in the Russian stock market: dynamics, distribution and determinants pp. 87-104

Stanislav Anatolyev and Dmitry Shakin

On the relationship between nominal exchange rates and domestic and foreign prices pp. 105-117

Ivan Paya and David A. Peel

Banks’ riskiness over the business cycle: a panel analysis on Italian intermediaries pp. 119-138

Mario Quagliariello

The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market pp. 139-148

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

Stavros Degiannakis and Evdokia Xekalaki

Volume 17, issue 1, 2007

Monetary policy rules in practice: evidence from Turkey and Israel pp. 1-8

Ege Yazgan and Hakan Yilmazkuday

Euro area inflation: long-run determinants and short-run dynamics pp. 9-24

Melisso Boschi and Alessandro Girardi

The internal and cross market efficiency in index option markets: an investigation of the Italian market pp. 25-33

Marianna Brunetti and Costanza Torricelli

An analysis of private investors’ stock market return forecasts pp. 35-43

Erik Theissen

Overreaction: the sensitivity of defining the duration of the formation period pp. 45-61

Walid Saleh

Banking regulation, information asymmetries and industry growth: new evidence pp. 63-76

Natalia Utrero-González

Forecasting the term structure of interest rates for Turkey: a factor analysis approach pp. 77-85

C. Emre Alper, K. Kazimov and A. Akdemir