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Applied Financial Economics
1997 - 2013
Edited by Mark P. Taylor
from Taylor and Francis Journals
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Volume 13, issue 12 , 2003
Efficiency tests for mutual fund portfolios pp. 869-876 Jati Sengupta Increasing exchange rate volatility during the recent float pp. 877-883 Michael Frömmel and Lukas Menkhoff Currency risks, government procurement and counter-trade: a note pp. 885-889 Sang-Rim Choi and Adrian Tschoegl Investor sentiment, market timing, and futures returns pp. 891-898 Changyun Wang Parities and Spread Trading in Gold and Silver Markets: A Fractional Cointegration Analysis pp. 899-911 Shi-Miin Liu and Chih-Hsien Chou Investment and firm value: an analysis using panel data pp. 913-923 Esther B. Del Brio , Alberto De Miguel and Julio Pindado Financial development and economic growth in India: 1970-1971 to 1998-1999 pp. 925-929 Prabir Bhattacharya and M. N. Sivasubramanian Volume 13, issue 11 , 2003
A two-factor model of the German term structure of interest rates pp. 783-806 Nuno Cassola and Jorge Barros Luis The size effect and the random walk hypothesis: evidence from the London Stock Exchange using Markov Chains pp. 807-815 T. C. Mills and J. V. Jordanov Intraday information transmission between DJIA spot and futures markets pp. 817-827 Gokce Soydemir and A. George Petrie Dispersion of analysts' expectations and the cross-section of stock returns pp. 829-839 Bokhyeon Baik and Cheolbeom Park GMM-based testing procedures of the mixture of distributions model pp. 841-848 Ainhoa Zarraga Volume 13, issue 10 , 2003
Money market operations and short-term interest rate volatility in the United Kingdom pp. 701-719 Anne Vila Wetherilt Impact of nonearnings disclosures on market risk: evidence with interim reports pp. 721-729 Antti Kanto and Hannu J. Schadewitz The cross section of expected futures returns and the Keynesian hypothesis pp. 731-739 Joelle Miffre A contemporary analysis of Mexican stock market volatility pp. 741-745 Jorge Gonzalez , Roger Spencer and Daniel Walz Returns and volatility on the Chinese stock markets pp. 747-752 Robert Brooks and Vanitha Ragunathan Indirect convertibility as a money rule for inflation targeting pp. 753-761 J. Stephen Ferris and J. A. Galbraith A long memory test of the long-run Fisher effect in the G7 countries pp. 763-769 Noor Ghazali and Shamshubariah Ramlee A study of Spanish firms' security issue decision under asymmetric information and agency costs pp. 771-782 Ruben Arrondo and Silvia Gomez-Anson Volume 13, issue 9 , 2003
An investigation of the unconditional distribution of South African stock index returns pp. 623-633 O. Beelders An empirical investigation of asset price bubbles in Latin American emerging financial markets pp. 635-643 Lucio Sarno and Mark P. Taylor Econometrics of yield spreads in the money market: a note pp. 645-653 Sumon K. Bhaumik and D. Coondoo Futures trading activity and stock price volatility: some extensions pp. 655-664 A. Chatrath , F. Song and B. Adrangi Stochastic behaviour of Deutsche mark exchange rates within EMS pp. 665-676 Nikiforos Laopodis The association between disclosure level and information quality: voluntary management earnings forecasts pp. 677-692 Hark-Ppin Yhim , Khondkar Karim and Robert Rutledge Inflation and output as predictors of stock returns and volatility: international evidence pp. 693-700 Nicole Davis and Ali M. Kutan Volume 13, issue 8 , 2003
Stability of the day of the week effect in return and in volatility at the Indian capital market: a GARCH approach with proper mean specification pp. 553-563 Kaushik Bhattacharya , Nityananda Sarkar and Debabrata Mukhopadhyay Determinants of commercial banks' profitability in Malawi: a cointegration approach pp. 565-571 E. W. Chirwa Pros win! Pros win!… or do they?: an analysis of the 'Dartboard' contest using stochastic dominance pp. 573-579 Ross Dickens and Roger Shelor Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers pp. 581-592 Felix Chan and Michael McAleer An examination of the information role of the yield spread and stock returns for predicting future GDP pp. 593-597 Ning Li , David. Ayling and Lynn Hodgkinson Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures pp. 599-607 David McMillan and Alan Speight Mega-mergers in the US banking industry pp. 609-622 Said Elfakhani , Rita Ghantous and Imad Baalbaki Volume 13, issue 7 , 2003
Stock market integration and financial crises: the case of Asia pp. 477-486 Jian Yang , James Kolari and Insik Min Intraday volatility spillovers in the German equity index derivatives markets pp. 487-494 G. Geoffrey Booth and Raymond So Long memory and outliers in stock market returns pp. 495-502 Jussi Tolvi Beta, the Treynor ratio, and long-run investment horizons pp. 503-508 Charles Hodges , Walton Taylor and James Yoder Seasonal indexation bias in US Treasury Inflation-indexed Securities pp. 509-516 Michael Gapen Voluntary trading suspensions in Singapore pp. 517-523 Ruth Tan and W. Y. Yeo Monetary policy rules and regime shifts pp. 525-535 Giorgio Valente An alternative conditional asymmetry specification for stock returns pp. 537-541 Kurt Brännäs and Niklas Nordman How rewarding is technical analysis? Evidence from Singapore stock market pp. 543-551 Wing-Keung Wong , Meher Manzur and Boon-Kiat Chew Volume 13, issue 6 , 2003
Political administration effects and day-of-the-week effects in New Zealand's foreign exchange rate pp. 401-412 Stephen P Keef and Melvin Roush Cross-sectional estimation of stock returns in small markets: The case of the Athens Stock Exchange pp. 413-426 George N. Leledakis , Ian Davidson and George Karathanassis Does diversification strategy matter in explaining capital structure? Some evidence from Spain pp. 427-430 Eduardo Menendez-Alonso Parametric estimation of different interest rate processes pp. 431-446 Michalis Ioannides and Frank Skinner Examining intraday returns with buy/sell information pp. 447-461 Shinn-Juh Lin and Jian Yang Estimation of persistence in log-volatility using panel data pp. 463-472 Yoshitsugu Kitazawa Exchange rate determination during hyperinflation: the case of the Romanian lei pp. 473-476 Costas Karfakis Volume 13, issue 5 , 2003
On the equilibrium value of the peseta pp. 317-335 Ivan Paya , A. Duarte and K. Holden What Determines Maturity? An analysis of German Commercial Banks' foreign Assets pp. 337-351 Claudia M. Buch Calendar anomalies in the Turkish foreign exchange markets pp. 353-360 Kursat Aydoğan and G. Geoffrey Booth How is the market reaction to stock splits? pp. 361-368 Juan Reboredo The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case pp. 369-378 Benjamin Miranda Tabak A trend towards being normal: the 'A' share experience on the Shanghai stock exchange pp. 379-385 Anthony Yanxiang Gu The dynamics of bond yields and the stock index - with an application to the UK stock and bond market pp. 387-399 Jan Bo Jakobsen and Carsten Sørensen Volume 13, issue 4 , 2003
Is US inflation low because the dollar value is high? Some short- and long run evidence pp. 237-243 A. F. Darrat , M. C. Chopin and C. Topuz Non-linear dynamics in futures prices: evidence from the coffee, sugar and cocoa exchange pp. 245-256 B. Adrangi and A. Chatrath The relationship between commercial banks' interest rates and loan sizes: evidence from a small open economy pp. 257-266 Winston Ricardo Moore and Roland Clairmonte Craigwell Credit channel and credit shocks in Canadian macrodynamics - a structural VAR approach pp. 267-277 J. Safaei and N. E. Cameron Electoral management, political risk and exchange rate dynamics: the Greek experience pp. 279-285 Fotios Siokis and Panayotis Th. Kapopoulos Cross- and auto-correlation effects arising from averaging: the case of US interest rates and equity duration pp. 287-294 Winfried George Hallerbach Event-related GARCH: the impact of stock dividends in Turkey pp. 295-307 Roy Batchelor and Ismail Orakcioglu Relative development in stock markets: empirical evidence from mainland China and Hong Kong pp. 309-316 Dauvin Peterson , Scott Pardee and Phanindra V. Wunnava Volume 13, issue 3 , 2003
A study of production efficiencies of integrated securities firms in Taiwan pp. 159-167 K. -L. Wang , Y. -T. Tseng and C. -C. Weng Comparing forecasting ability of parametric and non-parametric methods: an application with Canadian monthly interest rates pp. 169-176 Burak Saltoğlu Expected returns and economic risk in Canadian financial markets pp. 177-189 B. Carmichael and L. Samson Implied option prices from the continuous time CKLS interest rate model: an application to the UK pp. 191-197 K. Ben Nowman and Ghulam Sorwar The link between monetary policy and stock and bond markets: evidence from the federal funds futures contract pp. 199-209 O David Gulley and Jahangir Sultan Capital asset pricing model on UK securities using ARCH pp. 211-223 David Morelli Reflected glory and failure: international sporting success and the stock market pp. 225-235 Glenn Boyle and Brett Walter Volume 13, issue 2 , 2003
The role of fundamentalists and technicians in the foreign exchange market when the domestic currency is pegged to a basket pp. 79-84 . A. Moosa and N. E. Al-Loughani Making political capital: the behaviour of the UK capital markets during Election'97 pp. 85-95 James M. Steeley An empirical investigation on the determinants of capital structure: the UK and Italian experience pp. 97-112 A. Panno Technical analysis in foreign exchange markets: evidence from the EMS pp. 113-122 F. FernAndez-RodrIguez , Simon Sosvilla-Rivero and Julian Andrada-Felix The role of information in Hong Kong individual stock futures trading pp. 123-131 M. D. Mckenzie and R. D. Brooks The determinants of corporate financial performance in the Bermuda insurance market pp. 133-143 M. Adams and M. Buckle Evidence on the determinants of equity issue method in the UK pp. 145-157 B. M. Burton and D. M. Power Volume 13, issue 1 , 2003
Cost and profit efficiency in the Spanish banking sector (1985-1996): a non-parametric approach pp. 1-12 Joaquin Maudos and José M. Pastor Intraday stock price patterns in the Greek stock exchange pp. 13-22 N. A. Niarchos and Christos A. Alexakis Impulse responses in a threshold cointegrated system: the case of natural gas markets pp. 23-35 T. H. Root and D. Lien Forward-looking agents and macroeconomic determinants of the equity price in a small open economy pp. 37-54 Amir Kia Why firms hedge with currency derivatives: an examination of transaction and translation exposure pp. 55-69 Niclas Hagelin Seasonal cointegration analysis for German M3 money demand pp. 71-78 Helmut Herwartz and Hans-Eggert Reimers
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