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Applied Financial Economics
1997 - 2013
Edited by Mark P. Taylor
from Taylor and Francis Journals
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Volume 14, issue 18 , 2004
The Mib30 index and futures relationship: econometric analysis and implications for hedging pp. 1281-1289 Francesco Pattarin and Riccardo Ferretti The role of hostile takeovers in corporate governance pp. 1291-1305 Rajeeva Sinha Excess volatility in the US stock market: evidence to the contrary pp. 1307-1311 Samih Antoine Azar Components of volatility and their empirical measures: a note pp. 1313-1318 Dipankor Coondoo and Paramita Mukherjee Linking profits to asset-liability management of domestic and foreign banks in the UK pp. 1319-1324 Kyriaki Kosmidou , Fotios Pasiouras and Jordan Floropoulos Joint venture investments and the market value of the firm pp. 1325-1331 Edward Jones and Jo Danbolt Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model pp. 1333-1342 Stavros Degiannakis The New Market effect on return and volatility of Spanish stock indexes pp. 1343-1350 Juan Angel Lafuente and Jesus Ruiz Volume 14, issue 17 , 2004
The transmission of shocks across real estate investment trust (REIT) markets pp. 1211-1217 James E. Payne and Hassan Mohammadi The value relevance of accounting and financial information: panel data evidence pp. 1219-1224 Ben Samy Ben Naceur and Mohamed Goaied Portfolio diversification: alive and well in Euro-land! pp. 1225-1231 Kpate Adjaoute and Jean-Pierre Danthine Stakeholder representation on the boards of Australian initial public offerings pp. 1233-1238 Bill Dimovski and Robert Brooks Multi-bank loan pool contracts: enhancing the profitability of small commercial banks pp. 1239-1252 Andreas Gintschel and Andreas Hackethal International portfolio diversification to Central European stock markets pp. 1253-1268 Theodore Constantine Syriopoulos How short-termed is the trading behaviour in Eurex futures markets? pp. 1269-1279 Gregor Dorfleitner Volume 14, issue 16 , 2004
Cross-border banking and transmission mechanisms in Europe: evidence from German data pp. 1137-1149 Claudia M. Buch Acquisitions of private targets: the unique shareholder wealth implications pp. 1151-1165 Ninon Kohers Correlations, integration and Hansen-Jagannathan bounds pp. 1167-1180 Vanitha Ragunathan , Robert William Faff and Robert Brooks Exchange rate adjustment and output in Greece and Cyprus: evidence from panel data pp. 1181-1185 Kamal Upadhyaya , Franklin Mixon and Rabindra Bhandari The Greek implied volatility index: construction and properties pp. 1187-1196 George Skiadopoulos The informational role of option trading volume in the S&P 500 futures options markets pp. 1197-1210 Ghulam Sarwar Volume 14, issue 15 , 2004
Market timing effects on the investment performance of Asia-Pacific and European ADRs listed on the New York stock exchange pp. 1059-1066 Mark Schaub Maximizing futures returns using fixed fraction asset allocation pp. 1067-1073 John Andrew Anderson and Robert William Faff Options trading profits from correlation forecasts pp. 1075-1085 James Chong Statistical properties of volatility in fractal dimensions and probability distribution among six stock markets pp. 1087-1095 Hai-Chin Yu and Ming-Chang Huang Impact of export earnings fluctuation on capital formation: evidence from four SADC countries pp. 1097-1103 Peter Karungu and Yohane Khamfula SARS: a non-event for affected countries' stock markets? pp. 1105-1110 Srinivas Nippani and Kenneth Washer Do equity investments affect banks' profitability? Evidence from OECD countries pp. 1111-1124 Francisco Gonzalez Hedge ratios in Greek stock index futures market pp. 1125-1136 Christos Floros and Dimitrios Vougas Volume 14, issue 14 , 2004
Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market pp. 981-989 Guglielmo Maria Caporale , Nikolaos Philippas and Nikitas Pittis Modelling the linkages between the Australian and G7 stock markets: common stochastic trends and regime shifts pp. 991-1004 Paresh Kumar Narayan and Russell Smyth The impact of environmental risk on the UK banking sector pp. 1005-1016 George McKenzie and Simon Wolfe Appropriate lag specification for daily responses of international stock markets pp. 1017-1025 Yoshiro Tsutsui and Kenjiro Hirayama Sources of contrarian profits and return predictability in emerging markets pp. 1027-1034 Emilios Galariotis Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia pp. 1035-1043 Dimitar Tonchev and Tae-Hwan Kim Volatility transmission across the term structure of swap markets: international evidence pp. 1045-1058 Pilar Abad and Alfonso Novales Volume 14, issue 13 , 2004
Trading collar, intraday periodicity and stock market volatility pp. 909-913 Satheesh Aradhyula and A. Tolga Ergun On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange pp. 915-922 Rehim Kili Bid-ask spreads in commodity futures markets pp. 923-936 Henry Bryant and Michael Haigh Shrunken earnings predictions are better predictions pp. 937-943 Manfred Keil , Gary Smith and Margaret Smith Time-varying risk components in the single-factor market model: an exact most powerful invariant test pp. 945-952 Philip Shively Efficient estimation and testing of oil futures contracts in a mutual offset system pp. 953-962 Michael McAleer and J. M. Sequeira Simple and extended Kalman filters: an application to term structures of commodity prices pp. 963-973 Delphine Lautier and Alain Galli Serial correlation in the returns of UK capitalization based portfolios pp. 975-979 Patricia L. Chelley-Steeley Volume 14, issue 12 , 2004
Strategic competition in the banking industry pp. 835-845 Melvin Ayogu and Hashem Dezhbakhsh Partial acquisitions, corporate control, and performance pp. 847-857 Aigbe Akhigbe , Jeff Madura and Carolyn Spencer Day-of-the-week effects: New Zealand bank bills, 1985-2000 pp. 859-873 Stephen P Keef and Melvin Roush Implied asset value distributions pp. 875-883 Gunter Loffler Exchange rate uncertainty, UK trade and the euro pp. 885-893 Charalambos Pattichis , Chongcheul Cheong , Tesfa Mehari and Leighton Vaughan Williams Long run trends and volatility spillovers in daily exchange rates pp. 895-907 Angela J. Black and David McMillan Volume 14, issue 11 , 2004
The information content of interest rate futures and time-varying risk premia pp. 761-771 Sotiris K. Staikouras Funding new ventures: some strategies for raising early finance pp. 773-778 Rajeev K. Goel and Iftekhar Hasan Deviations from PPP and UIP in a financially open economy: the Turkish evidence pp. 779-784 Erdal Ozmen and Aysun Gokcan The Chinese stock exchange market: operations and efficiency pp. 785-797 H. R. Seddighi and W. Nian Manipulation of the Bund futures market pp. 799-808 Sami Jarvinen and Jari Kappi Offering price clusters and underpricing in the US primary market pp. 809-822 Kevin Chiang and T. Harikumar Selective asymmetric intervention and sterilization pp. 823-833 John Carlson and Melody Lo Volume 14, issue 10 , 2004
Financial conglomeration: efficiency, productivity and strategic drive pp. 687-696 Barbara Casu and Claudia Girardone Sources of exchange rate fluctuations: empirical evidence from six emerging market countries pp. 697-705 Ibrahim Chowdhury Downside risk for European equity markets pp. 707-716 John Cotter Volatility and risk estimation with linear and nonlinear methods based on high frequency data pp. 717-729 Marcel Dettling and Peter Buhlmann An empirical analysis of the German long-term interest rate pp. 731-741 Frank A.G. Den Butter and Pieter Jansen Valuing callable convertible bonds: a reduced approach pp. 743-749 Florence ANDRE-LE POGAMP and Franck Moraux Evaluating the style-based risk model for equity mutual funds investing in Europe pp. 751-760 Stephanos Τ. Papadamou and George Stephanides Volume 14, issue 9 , 2004
Modelling the composition of personal sector wealth in the UK pp. 611-630 David Blake Investigating performance benchmarks in the context of international trusts: Australian evidence pp. 631-644 Karen Benson and Robert William Faff The equity premium in the long-run pp. 645-650 Marco Taboga Fundamental share prices and aggregate real output pp. 651-661 Nicolaas Groenewold Diversification versus specialization: an event study of M&As in the European banking industry pp. 663-669 Laetitia Lepetit , Stephanie Patry and Philippe Rous A re-examination of variance-ratio test of random walks in foreign exchange rates pp. 671-679 Yuanchen Chang Efficiency of Indian commercial banks during the reform period pp. 681-686 K. R. Shanmugam and Abhiman Das Volume 14, issue 8 , 2004
Fertility, human capital, and macroeconomic performance: long-term interactions and short-run dynamics pp. 537-554 A. F. Darrat and D. A. Yousef The impact of wealth on consumption and retirement behaviour in the UK pp. 555-576 David Blake A re-examination of Wagner's law for ten countries based on cointegration and error-correction modelling techniques pp. 577-589 Tsangyao Chang , WenRong Liu and Steven B Caudill The relationship between risk and capital in Swiss commercial banks: a panel study pp. 591-597 Robert Bichsel and Jurg Blum Impact of operating and balance sheet performance of Japanese international banks on bank safety levels and risk ratings pp. 599-610 J. Evans , John Lockyer Simpson , A. A. Mahate and R. Evans Volume 14, issue 7 , 2004
Do high-tech stock prices revert to their 'fundamental' value? pp. 461-476 Leonardo Becchetti and Fabrizio Adriani Why do US banks borrow from the Fed? A fresh look at the 'reluctance' phenomenon pp. 477-484 Ali Darrat , Khaled Elkhal , Gaurango Banerjee and Maosen Zhong Bank acquisitions of security firms: the early evidence pp. 485-496 Aigbe Akhigbe and Jeff Madura The foreign exchange exposure of capital structure: the 1997 Asian crises revisited pp. 497-505 Tsung-Wu Ho Does deregulation make markets more competitive? Evidence of mark-ups in Spanish savings banks pp. 507-515 Subal C. Kumbhakar and Ana Lozano-Vivas Robust estimates of daily seasonality in the Irish equity market pp. 517-523 Brian M. Lucey Information sensitivity of high tech industries: evidence from merger announcements pp. 525-536 N. Kohers and T. Kohers Volume 14, issue 6 , 2004
Long range dependence in daily stock returns pp. 375-383 Guglielmo Maria Caporale and Luis Alberiko Gil-Alana Expiration day effects of index futures and options: evidence from a market with a long settlement period pp. 385-396 Per Alkeback and Niclas Hagelin Returns on negative beta securities: implications for the empirical SML pp. 397-402 Dale O Cloninger , Edward Waller , Yvette Bendeck and Lee Revere Exchange-rate uncertainty and workers' remittances pp. 403-411 Matthew Higgins , Alketa Hysenbegasi and Susan Pozo Censoring and its impact on multivariate testing of the Capital Asset Pricing Model pp. 413-420 Robert Brooks , Robert William Faff , Tim R.L. Fry and Emma Newton Commercial bank entry into equity IPO underwriting: modern evidence pp. 421-428 Nancy Beneda and Ik-Whan Kwon A capital adequacy framework for Islamic banks: the need to reconcile depositors' risk aversion with managers' risk taking pp. 429-441 Dadang Muljawan , Humayon Dar and Maximilian J.B. Hall Don't lose sleep on it: a re-examination of the daylight savings time anomaly pp. 443-446 Reinhold Lamb , Richard Zuber and John Gandar Firm-level return dispersion and correlation asymmetry: challenges for portfolio diversification pp. 447-456 Riza Demirer and Donald Lien Analysing long memory and volatility of returns in the Athens stock exchange pp. 457-460 Dimitrios Vougas Volume 14, issue 5 , 2004
Subjective discount functions - an experimental approach pp. 299-311 Uri Benzion , Yochanan Shachmurove and Joseph Yagil The volatility impact of the European monetary system on member and non-member currencies pp. 313-325 Michael Hu , Christine Jiang and Christos Tsoukalas An examination of financial integration for the group of seven (G7) industrialized countries using an I( ) cointegration model pp. 327-335 A. Tahai , Robert Rutledge and Khondkar Karim The performance of UK firms acquiring large cross-border and domestic takeover targets pp. 337-349 M. S. B. Aw and R. A. Chatterjee The effect of the Asian financial crisis on the performance of Korean nationwide banks pp. 351-360 Yongil Jeon and Stephen M. Miller Investment in information technology systems and other determinants of bank profitability in the UK pp. 361-365 Ken Holden and Magdi El-Bannany Estimating time-varying risk premia in UK long-term government bonds pp. 367-373 James M. Steeley Volume 14, issue 4 , 2004
Short patches of outliers, ARCH and volatility modelling pp. 221-231 Philip Hans Franses , Dick van Dijk and André Lucas Modelling East Asian exchange rates: a Markov-switching approach pp. 233-242 Guglielmo Maria Caporale and Nicola Spagnolo The impact of stock index futures on the Korean stock market pp. 243-251 Hyun-Jung Ryoo and Graham Smith Intra-day periodicity, temporal aggregation and time-to-maturity in FTSE-100 index futures volatility pp. 253-263 David McMillan and Alan Speight The importance of variance stationarity in economic time series modelling. A practical approach pp. 265-278 Alexandros Milionis Is there a need for hedging exposure to foreign exchange risk? pp. 279-283 Imad Moosa The profitability of daily stock market indices trades based on neural network predictions: case study for the S&P 500, the DAX, the TOPIX and the FTSE in the period 1965-1999 pp. 285-297 Teo Jasic and Douglas Wood Volume 14, issue 3 , 2004
Further empirical analysis of the time series properties of financial ratios based on a panel data approach pp. 155-163 David A. Peel , Michael Peel and Ioannis A. Venetis European stock market dependencies when price changes are unusually large pp. 165-177 Sebastian Schich IPO underpricing in Italy pp. 179-194 L. Cassia , G. Giudici , S. Paleari and R. Redondi Skewness in the conditional distribution of daily equity returns pp. 195-202 Richard D. F. Harris , Cumhur Coşkun Küçüközmen and Fatih Yilmaz Monthly and semi-annual seasonality in the Irish equity market 1934-2000 pp. 203-208 Brian M. Lucey and Shane Whelan Back to the future: an empirical investigation into the validity of stock index models over time pp. 209-214 Barbara Summers , Evan Griffiths and Robert Simon Hudson Does the day of the week effect exist once transaction costs have been accounted for? Evidence from the UK pp. 215-220 Andros Gregoriou , Alexandros Kontonikas and N. Tsitsianis Volume 14, issue 2 , 2004
Identification of corporate distress in UK industrials: a conditional probability analysis approach pp. 73-82 Lin Lin and J. Piesse A simple test of the Fama and French model using daily data: Australian evidence pp. 83-92 Robert William Faff Estimating the risk premium of swap spreads. Two econometric GARCH-based techniques pp. 93-104 Carolina Castagnetti The rational expectations hypothesis and the cross-section of bond yields pp. 105-112 Richard D. F. Harris The causes of the long stagnation in Japan pp. 113-120 Tatsuyoshi Miyakoshi and Yoshihiko Tsukuda Stock market and aggregate economic activity: evidence from Australia pp. 121-129 Kausik Chaudhuri and S. Smiles Performance persistence and the source of returns for hedge funds pp. 131-141 A. Harri and B Wade Brorsen The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange pp. 143-154 Wee Ching Pok and Sunil Poshakwale Volume 14, issue 1 , 2004
Forecasting volatility in the Spanish option market pp. 1-11 Pilar Corredor and Rafael Santamaria Diversification benefits in trading? pp. 13-17 Raphael Nicholas Markellos Money demand stability under currency substitution: some recent evidence pp. 19-27 Santi Chaisrisawatsuk , Subhash C. Sharma and Abdur Chowdhury A Multivariate I(2) cointegration analysis of German hyperinflation pp. 29-41 Dimitris Georgoutsos and Georgios P. Kouretas Number preference in Australian stocks pp. 43-54 Chris Doucouliagos Testing for inconsistencies in the estimation of UK capital structure determinants pp. 55-66 A. A. Bevan and J. Danbolt Interaction among China-related stocks: evidence from a causality test with a new procedure pp. 67-72 Gary Gang Tian and Guanghua Wan
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