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Applied Financial Economics
1997 - 2013
Edited by Mark P. Taylor
from Taylor and Francis Journals
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Volume 18, issue 21 , 2008
A new perspective on financial anomalies in emerging markets: the case of China pp. 1681-1695 Zhichao Zhang , Wai Sun and Hua Wang Effect of intervalling and skewness on portfolio selection in developed and developing markets pp. 1697-1707 Chun-Hao Chang , Brice Dupoyet and Arun J. Prakash Causality-in-variance and causality-in-mean among European government bond markets pp. 1709-1720 Guangzhong Li , James Refalo and Lifan Wu Family ownership and the cost of under-diversification pp. 1721-1737 Richard Heaney and Martin Holmen Deflator selection and generalized linear modelling in market-based regression analyses pp. 1739-1753 Changbao Wu and Bixia Xu Aggregate hedge funds' flows and returns pp. 1755-1764 Andrea Beltratti and Claudio Morana Volume 18, issue 20 , 2008
Long-horizon yield curve projections: comparison of semi-parametric and parametric approaches pp. 1597-1611 Ken Nyholm and Riccardo Rebonato European mezzanine pp. 1613-1622 Martijn de Ruijter Korver and Steven Ongena Relationship between downside risk and return: new evidence through a multiscaling approach pp. 1623-1633 Don U. A. Galagedera , Elizabeth Ann Maharaj and Robert Brooks Optimum allocation of weights to assets in a portfolio: the case of nominal annualization versus effective annualization of returns pp. 1635-1646 Chun-Hao Chang , Brice DuPoyet and Arun J. Prakash The concentration of creditors: evidence from small businesses pp. 1647-1656 Liang Han , David Storey and Stuart Fraser The impact of lifting the short-sale price restriction on volatility and liquidity in Taiwan pp. 1657-1665 Ching-Chung Lin The risk premiums of the four-factor asset pricing model in the Hong Kong stock market pp. 1667-1680 Keith Lam and Frank Li Volume 18, issue 19 , 2008
The performance of moving average rules in emerging stock markets pp. 1515-1532 S. G. M. Fifield , D. M. Power and D. G. S. Knipe Are there threshold effects in the stock price-dividend relation? The case of the US stock market, 1871-2004 pp. 1533-1537 Vicente Esteve and María Asunción Prats An examination of IPO underpricing in the growth enterprise market of Hong Kong pp. 1539-1547 Anna Vong and N. Zhao Evidence on growth and financial development using principal components pp. 1549-1560 Karima Saci and Ken Holden Pricing futures options with basis risk: evidence from S&P 500 futures options pp. 1561-1567 Chou-Wen Wang and Ting-Yi Wu Athens' Olympic Games 2004 impact on sponsors' stock returns pp. 1569-1580 Aristeidis Samitas , Dimitris Kenourgios and Peter Zounis Deregulation, ownership and profit performance of banks: evidence from India pp. 1581-1595 Rudra Sensarma Volume 18, issue 18 , 2008
Institutional flows and equity style diversification pp. 1441-1450 John Gallo , Chanwit Phengpis and Peggy Swanson Diversification prospects in Middle East and North Africa (MENA) equity markets: a synthesis and an update pp. 1451-1463 Olasupo Olusi and Haikal Abdul-Majid The value of stability ratings to the Canadian income trust market pp. 1465-1474 H. Semih Yildirim , Prem Mathew and Priscilla Neeliah-Chinniah Intraday stock returns and performance of a simple market model pp. 1475-1480 Elvan Aktas Post-Bretton Woods evidence on PPP under different exchange rate regimes pp. 1481-1488 Rakesh Bissoondeeal Dynamic causality between intraday return and order imbalance in NASDAQ speculative top gainers pp. 1489-1499 YongChern Su and HanChing Huang Modelling cross-sectional profitability and capital intensity using panel corrected significance tests pp. 1501-1513 Jason Hecht Volume 18, issue 17 , 2008
The quiet period is making noise again pp. 1363-1378 Michael Highfield , Patrick Lach and Larry White Empirical evidence on feedback trading in mature and emerging stock markets pp. 1379-1389 Martin Bohl and Pierre Siklos Macro shocks and the Japanese stock market pp. 1391-1400 Ying Huang and Feng Guo Long-run and short-run relationship between the main stock indexes: evidence from the Athens stock exchange pp. 1401-1410 Theophano Patra and Sunil Poshakwale Merger momentum and market valuations: the UK evidence pp. 1411-1423 Antonios Antoniou , Jie Guo and Dimitris Petmezas Fundamental uncertainty and stock market volatility pp. 1425-1440 Ivo Arnold and Evert B. Vrugt Volume 18, issue 16 , 2008
The MSCI-Canada index rebalancing and excess comovement pp. 1277-1287 Jerry Coakley , P. Kougoulis and J. C. Nankervis Empirical distributions of stock returns: Paris stock market, 1980-2003 pp. 1289-1302 Stella Kanellopoulou and Epaminondas Panas The impact of rational and irrational sentiments of individual and institutional investors on DJIA and S&P500 index returns pp. 1303-1317 Rahul Verma , Hasan Baklaci and Gokce Soydemir Do Spanish mutual fund managers use public and private information correctly? Use of information in mutual fund management pp. 1319-1331 Luis Ferruz , Javier Nievas and Maria Vargas The relationship between stock return volatility and trading volume: the case of the Philippines pp. 1333-1341 Manabu Asai and Angelo Unite The co-movement of stock prices, herd behaviour and high-tech mania pp. 1343-1350 Wen-Chung Guo and Hsiu-Ting Shih Closing inefficient affiliates: evidence from Korean conglomerates pp. 1351-1361 Heechul Min and Wook Sohn Volume 18, issue 15 , 2008
International transmissions in US-Japanese stock markets pp. 1193-1200 Youta Ishii Estimating stock market volatility using asymmetric GARCH models pp. 1201-1208 Dima Alberg , Haim Shalit and Rami Yosef The impact of unsecured debt on financial pressure among British households pp. 1209-1220 Ana del Rio and Garry Young Nonlinear adjustment of investors' holding periods for common stocks in the presence of unobserved transactions costs: evidence from the UK equity market pp. 1221-1231 V. Boinet , Andros Gregoriou and C. Ioannidis Degree of market imperfections: evidence from four Asian index futures markets pp. 1233-1246 Janchung Wang Simulating convertible bond arbitrage portfolios pp. 1247-1262 Mark Hutchinson and Liam A. Gallagher Revisiting East Asian exchange rates: the same spirit under a different sky pp. 1263-1276 Cem Payaslioglu Volume 18, issue 14 , 2008
Hot IPOs can damage your long-run wealth! pp. 1111-1120 Jerry Coakley , Leon Hadass and Andrew Wood Bank efficiency and share performance: evidence from Greece pp. 1121-1130 Fotios Pasiouras , Aggeliki Liadaki and Constantin Zopounidis Client profiles and access to retail bank services in South Africa pp. 1131-1146 Charles Okeahalam The pricing and impact of rights issues of equity in Australia pp. 1147-1160 Sian Owen and Jo-Ann Suchard The impact of listing stock options on the underlying securities: the case of Taiwan pp. 1161-1172 Dar-Hsin Chen and Po-Hsun Chang Estimating banks' equity duration: a panel cointegration approach pp. 1173-1180 Abdulnasser Hatemi-J and Eduardo Dacillo Roca Exchange rate uncertainty and corporate values: evidence from Taiwan pp. 1181-1192 Chien-Chung Nieh , Jeng-Bau Lin and Yu-shan Wang Volume 18, issue 13 , 2008
Financial development and economic growth: a symbiotic relationship pp. 1033-1049 Jagdish Handa and Shubha Rahman Khan The market response to information quality shocks: the case of Enron pp. 1051-1066 Peter Gerard Dunne , Haim Falk , John Forker and Ronan Powell Mergers and acquisitions waves in the UK: a Markov-switching approach pp. 1067-1074 Marcelo Resende Nonlinear short-run adjustments in US stock market returns pp. 1075-1083 Tsangyao Chang , Ming Jing Yang , Chien-Chung Nieh and Chi-Chen Chiu Conditional confidence intervals for the equity premium and other rates pp. 1085-1089 Samih Antoine Azar Is Baumol's 'square root law' still relevant? evidence from micro-level data pp. 1091-1098 David Bounie and Abel François What factors drive IPO aftermarket risk? pp. 1099-1110 K. Gleason , James Johnston and J. Madura Volume 18, issue 12 , 2008
Weather biases in the NFL totals market pp. 947-953 Richard Borghesi Determinants of the initial IPO performance: evidence from Hong Kong and Taiwan pp. 955-963 Chien-Ting Lin and Shou-Ming Hsu Macroeconomic instability in the European monetary system? pp. 965-983 A. Morales-Zumaquero and Simon Sosvilla-Rivero Nonneutral short-run effects of derivatives on gold prices pp. 985-994 Adrienne Kearney and Raymond Lombra Impact of ETF inception on the valuation and trading of component stocks pp. 995-1007 Jeff Madura and Thanh Ngo The application of the self-organizing map, the k-means algorithm and the multi-layer perceptron to the detection of technical trading patterns pp. 1009-1019 J. P. Marney , Heather Tarbert , Jos Koetsier and Marco Guidi International diversification, capital structure and cost of capital: evidence from ICT firms listed at NASDAQ pp. 1021-1032 Dany Aoun and Almas Heshmati Volume 18, issue 11 , 2008
Reassessing co-movements among G7 equity markets: evidence from iShares pp. 863-877 M. Barari , Brian M. Lucey and S. Voronkova What drives the performance of cooperative financial institutions? Evidence for US credit unions pp. 879-893 John Goddard , Donal McKillop and John Wilson Time-varying conditional dependence in Chinese stock markets pp. 895-916 Thierry Ane , Loredana Ureche-Rangau and Chiraz Labidi Components of the profitability of technical currency trading pp. 917-930 Stephan Schulmeister Financial liberalization and bank efficiency: evidence from post-war Lebanon pp. 931-946 Rima Turk Ariss Volume 18, issue 10 , 2008
Skewness and asymmetry in futures returns and volumes pp. 777-800 Alexander Eastman and Brian M. Lucey Public-to-private buy-outs, distress costs and private equity pp. 801-819 Charlie Weir , Mike Wright and Louise Scholes Capital structure and growth of the firms in the backward regions of the south Italy pp. 821-833 Domenico Sarno The cost of downside protection and the time diversification issue in South Asian stock markets pp. 835-843 Lakshman Alles Testing for structural breaks in GARCH models pp. 845-862 Daniel R. Smith Volume 18, issue 9 , 2008
Secondary market pricing behaviour around UK bond auctions pp. 691-699 Farooq Ahmad and James M. Steeley Efficiency change, technological progress and productivity growth of private, public and foreign banks in India: evidence from the post-liberalization era pp. 701-713 Rasoul Rezvanian , Narendar Rao and Seyed Mehdian Does leverage influence auditor choice? A cross-country analysis pp. 715-731 Géraldine BROYE and Laurent Weill Is being a super-power more important than being your close neighbour? A study of what moves the Australian stock market pp. 733-747 Heng Chen , Russell Smyth and Wing-Keung Wong Efficiency of Bangladesh stock market: evidence from monthly index and individual firm data pp. 749-758 M. Kabir Hassan and S. S. H. Chowdhury Classification of GARCH time series: an empirical investigation pp. 759-764 T. Kalantzis and D. Papanastassiou Pricing generalized capped exchange options pp. 765-776 Chou-Wen Wang , Szu-Lang Liao and Ting-Yi Wu Volume 18, issue 8 , 2008
Untangling demand curves from information effects: evidence from Australian index adjustments pp. 605-616 David Sokulsky , Robert Brooks and Sinclair Davidson Stock market reaction to capital expenditure announcements by UK firms pp. 617-627 Saeed Akbar , Syed Zulfiqar Ali Shah and Issedeeq Saadi The association between audit committee and board of director effectiveness and changes in the nonaudit fee ratio pp. 629-638 Ho-Young Lee What happened to pacific-basin emerging markets after the 1997 financial crisis? pp. 639-658 Joo Ha Nam , Ky-hyang Yuhn and Sang Bong Kim Business conditions and nonrandom walk behaviour of US stocks and bonds returns pp. 659-672 B. Jirasakuldech , Riza Emekter and Unro Lee The behaviour of a small foreign exchange market with a long-term peg-Barbados pp. 673-682 DeLisle Worrell , Roland Clairmonte Craigwell and Travis Mitchell European mutual funds and portfolio's country exposure: does active management add value? pp. 683-689 Javier Rodriguez Volume 18, issue 7 , 2008
Changing-regime volatility: a fractionally integrated SETAR model pp. 519-526 Gilles Dufrénot , Dominique Guegan and Anne PEGUIN-FEISSOLLE A new test for simultaneous estimation of unit roots and GARCH risk in the presence of stationary conditional heteroscedasticity disturbances pp. 527-558 Par Sjolander 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 Dacillo Roca and Victor Wong Do common volatility models capture cyclical behaviour in volatility? pp. 599-604 Adam Clements and Jerome Collet Volume 18, issue 6 , 2007
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 Isıl Akgul and Hulya 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 Francisco Perez-Bermejo , Simon Sosvilla-Rivero and Reyes Maroto-Illera 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 J. Prakash Does currency crisis identification matter? pp. 387-395 S. DeVicerte , P. Alvarez , J. Perez 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 Yung-Shi Liau and Jack Yang Foreign investment, regulation, volatility spillovers between the futures and spot markets: evidence from Taiwan pp. 421-430 Wen-Hsiu Kuo , Hsinan Hsu and Min-Hsien Chiang Volume 18, issue 4 , 2008
The finance-specialization-growth nexus: evidence from OECD countries pp. 255-265 Franz Rudolf 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 Yung-Ho Chang and Chia-Chung Chan An empirical study of interest rate determination rules pp. 327-343 Keshab R Bhattarai Volume 18, issue 3 , 2007
The short-run wealth effects of foreign divestitures by UK firms pp. 173-184 Jerry Coakley , Hardy Thomas and Han-Min Wang 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 N. Bebczuk and Arturo José 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 , 2007
Do country or firm factors explain capital structure? Evidence from SMEs in France and Greece pp. 87-97 Nikolaos P. 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 Jose Luis Miralles Marcelo , Jose Luis Miralles Quiros and Maria del Mar Miralles Quiros 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 Francisco Gonzalez-Rodriguez Volume 18, issue 1 , 2007
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 Jose Fernandes , Augusto Hasman and Juan Ignacio Pena 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 , Tze-Haw Chan and Stilianos Fountas
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