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Applied Financial Economics
1997 - 2013
Edited by Mark P. Taylor
from Taylor and Francis Journals
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Volume 10, issue 6 , 2000
Trading rules and stock returns: some preliminary short run evidence from the Hang Seng 1985-1997 pp. 579-586 J. Andrew Coutts and Kwong-C. Cheung Productivity growth, market structure, and technological change: evidence from the rural banking sector pp. 587-595 Michael Devaney and William Weber Index option market activity and cash market volatility under different market conditions: an empirical study from Sweden pp. 597-613 Niclas Hagelin Purchasing power parity, nonlinearity and chaos pp. 615-622 Apostolos Serletis and Periklis Gogas Implications of dependence in stock returns for asset allocation pp. 623-633 Alois Geyer The information content of corporate domicile relocation announcements: the case of Hong Kong pp. 635-644 Siu-Yeung Chan and Wai-Ming Fong An empirical examination of the value relevance of consolidated earnings figures under a cost of acquisition regime pp. 645-653 Dimosthenis Hevas , George Karathanassis and Nickolaos Iriotis The variability of inflation and real stock returns pp. 655-665 Xiaoqiang Hu and Thomas Willett US inflation-indexed bonds in the long run: a hypothetical view pp. 667-677 Nicholas Taylor On the information content of futures market and professional forecasts of interest rates pp. 679-684 Hamid Baghestani , Woo Jung and Daniel Zuchegno Exchange-rate uncertainty and dollarization: a structural vector error correction approach to estimating money demand pp. 685-692 Susan Pozo and Mark Wheeler The behaviour of Irish ISEQ index: some new empirical tests pp. 693-700 Philip Hamill , Kwaku Opong and Dan Sprevak Volume 10, issue 5 , 2000
The Federal Reserve's response to exchange rate shocks pp. 461-470 Djeto Assane and Bernard Malamud The pound sterling and the franc Poincare in the 1920s: long-run relationships, speculation and temporal stability pp. 471-482 Dimitris Georgoutsos and Georgios P. Kouretas Modelling day-of-the-week seasonality in the S&P 500 index pp. 483-488 Philip Hans Franses and Richard Paap Evidence of market inefficiency in a war environment pp. 489-492 David Chappell and Robert Eldridge Does shareholder myopia lead to managerial myopia? A first look pp. 493-505 Cherian Samuel CAR 2: the impact of CAR on bank capital augmentation in Spain pp. 507-518 Yener Altunbas , Santiago Carbo Valverde and Edward Gardener Long-term memory in stock market volatility pp. 519-524 Mike So A variance ratio test of the random walk hypothesis for Taiwan's stock market pp. 525-532 Kuo-Ping Chang and Kuo-Shiuan Ting Dividend initiation announcements effects in initial public offerings pp. 533-542 K. McCaffrey and P. Hamill A market-augmented model for SIMEX Brent crude oil futures contracts pp. 543-552 John Sequeira and Michael McAleer Heteroscedasticity in stock returns data revisited: volume versus GARCH effects pp. 553-560 M. F. Omran and E. McKenzie Security price anomalies in an emerging market: the case of the Athens Stock Exchange pp. 561-571 Andrew Coutts , Christos Kaplanidis and Jennifer Roberts Tests of regimes - switching CAPM pp. 573-578 Ho-Chuan Huang Volume 10, issue 4 , 2000
Are forward premia mean reverting? pp. 343-350 Walid Hejazi and Zhixin Li Exchange risk premia in the European monetary system pp. 351-360 Frederick Nieuwland , Willem Verschoor and Christian C.P. Wolff Black and official exchange rates in the Pacific Basin: some tests of dynamic behaviour pp. 361-369 Michael John Moore and Kate Phylaktis Forward foreign exchange rates and expected future spot rates pp. 371-377 Christian C.P. Wolff Stock returns and real activity: is there still a connection? pp. 379-387 Mathias Binswanger Expected returns and business conditions: a commentary on Fama and French pp. 389-400 Angela J. Black Asymmetries in the conditional mean and conditional variance in the exchange rate: evidence from within and across economic blocks pp. 401-412 Maria Sophia Aguirre and Reza Saidi Fiscal policy and the term premium in real interest rate differentials pp. 413-417 Thomas Flavin and M. G. Limosani Testing for price bubbles: the case of transition economy pp. 419-422 Maria Garvalova More on the credit channel of monetary policy transmission: an international comparison pp. 423-434 Félix J. López-Iturriaga Forecasting UK stock market volatility pp. 435-448 David McMillan , Alan Speight and Owain Apgwilym The P* model and its performance for the Spanish economy pp. 449-459 Vicente Pallardo and Vicente Esteve Volume 10, issue 3 , 2000
Price discovery in strategically-linked markets: the case of the gold-silver spread pp. 227-234 Bahram Adrangi , Arjun Chatrath and Rohan Christie David Day of the week effect in emerging Asian stock markets: evidence from the GARCH model pp. 235-242 Taufiq Choudhry Time varying term premia and risk: the case of the Spanish interbank money market pp. 243-260 M. Dolores Robles Fernandez and Rafael Florez De Frutos Stock market integration and macroeconomic fundamentals: an empirical analysis, 1980-95 pp. 261-276 David Dickinson Testing the risk premium and cost-of-carry hypotheses for currency futures contracts pp. 277-289 John Sequeira and Michael McAleer The relative impacts of Japanese and US interest rates on local interest rates in Australia and Singapore: a Granger causality test pp. 291-298 Jordan Shan and Nick Pappas Stock return volatility in thinly traded markets. An empirical analysis of trading and non-trading processes for individual stocks in the Norwegian thinly traded equity market pp. 299-310 P. B. Solibakke Stochastic unit roots modelling of stock price indices pp. 311-315 Robert Sollis , Paul Newbold and Stephen Leybourne Exchange controls and the transmission of equity market volatility: the case of the UK pp. 317-322 Patricia L. Chelley-Steeley Effects of index option introduction on stock index volatility: a procedure for empirical testing based on SSC-GARCH models pp. 323-341 Leonardo Becchetti and Andrea Caggese Volume 10, issue 2 , 2000
Modelling the effects of regulatory discretion: Carsberg vs Spottiswoode pp. 117-121 T. A. Robinson Parallel exchange market as a transition mechanism for foreign exchange reform: China's experiment pp. 123-135 Maozu Lu and Zhichao Zhang Seasonality in the Athens stock exchange pp. 137-142 T. C. Mills , C. Siriopoulos , Raphael Nicholas Markellos and D. Harizanis The relationship between short-term and forward interest rates: a structural time-series analysis pp. 143-153 Sridhar Iyer Interest rate spreads implicit in options: Spain and Italy against Germany pp. 155-161 Bernardino Adao and Jorge Barros Luis Hedging downside risk with futures contracts pp. 163-170 Donald Lien and Yiu Kuen Tse A regression tree analysis of real interest rate regime changes pp. 171-176 Paul Johnson and Marcio G. P. Garcia Long memory in the Greek stock market pp. 177-184 John Barkoulas , Christopher F Baum and Nickolaos Travlos The financial performance of companies acquiring very large takeover targets pp. 185-191 R. A. Chatterjee Wealth effects of financial internationalization: a case of the Yen-Dollar Agreement between the United States and Japan pp. 193-198 Nobuyoshi Yamori and Taiji Baba Wealth and liquidity effects of stock delistings: empirical evidence from the stock exchanges of Singapore and Malaysia pp. 199-206 Ahamed Kameel Meera , Niranjan Tripathy and Michael Redfearn Testing volatility on the Trinidad and Tobago Stock Exchange pp. 207-220 Hyginus Leon , Shelton Nicholls and Kelvin Sergeant Do financial markets and the Maastricht Treaty discipline governments? New evidence pp. 221-226 Jakob de Haan and Jan-Egbert Sturm Volume 10, issue 1 , 2000
Some international evidence on stock prices as leading indicators of economic activity pp. 1-14 Anthony Aylward and Jack Glen The impact of monetary policy and banks' balance sheets: some international evidence pp. 15-26 Philippe Bacchetta and Fernando Ballabriga The impact of corporate growth opportunities on the market response to new equity announcements pp. 27-36 B. M. Burton , A. A. Lonie and D. M. Power Does the behaviour of the asset tell us anything about the option price formula? A cautionary tale pp. 37-39 Leonard C G Rogers and S. E. Satchell Interdependence between the US and major European equity markets: evidence from spectral analysis pp. 41-47 Ioannis Asimakopoulos , John Goddard and Costas P. Siriopoulos Australian industry beta risk, the choice of market index and business cycles pp. 49-58 Vanitha Ragunathan , Robert William Faff and Robert Brooks What will be the risk-free rate and benchmark yield curve following European monetary union? pp. 59-69 Chris Brooks and Frank Skinner Meltdown of 1987 and meteor showers among Pacific-Basin stock markets pp. 71-80 Taufiq Choudhry Monte Carlo tests of cointegration in a bivariate normal common factor system pp. 81-93 Ralf Ostermark Do foreign exchange risk premiums relate to the volatility in the foreign exchange and equity markets? pp. 95-104 Christine Jiang and Thomas C. Chiang Short positions, size effect, and the liquidity hypothesis: implications for stock performance pp. 105-116 Said Elfakhani
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