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Applied Financial Economics

1997 - 2014

Edited by Anita Phillips

from Taylor & 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 Downloads
Zhichao Zhang, Wai Sun and Hua Wang
Effect of intervalling and skewness on portfolio selection in developed and developing markets pp. 1697-1707 Downloads
Chun-Hao Chang, Brice Dupoyet and Arun J. Prakash
Causality-in-variance and causality-in-mean among European government bond markets pp. 1709-1720 Downloads
Guangzhong Li, James Refalo and Lifan Wu
Family ownership and the cost of under-diversification pp. 1721-1737 Downloads
Richard Heaney and Martin Holmen
Deflator selection and generalized linear modelling in market-based regression analyses pp. 1739-1753 Downloads
Changbao Wu and Bixia Xu
Aggregate hedge funds' flows and returns pp. 1755-1764 Downloads
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 Downloads
Ken Nyholm and Riccardo Rebonato
European mezzanine pp. 1613-1622 Downloads
Martijn de Ruijter Korver and Steven Ongena
Relationship between downside risk and return: new evidence through a multiscaling approach pp. 1623-1633 Downloads
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 Downloads
Chun-Hao Chang, Brice DuPoyet and Arun J. Prakash
The concentration of creditors: evidence from small businesses pp. 1647-1656 Downloads
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 Downloads
Ching-Chung Lin
The risk premiums of the four-factor asset pricing model in the Hong Kong stock market pp. 1667-1680 Downloads
Keith Lam and Frank Li

Volume 18, issue 19, 2008

The performance of moving average rules in emerging stock markets pp. 1515-1532 Downloads
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 Downloads
Vicente Esteve and María Asunción Prats
An examination of IPO underpricing in the growth enterprise market of Hong Kong pp. 1539-1547 Downloads
Anna Vong and N. Zhao
Evidence on growth and financial development using principal components pp. 1549-1560 Downloads
Karima Saci and Ken Holden
Pricing futures options with basis risk: evidence from S&P 500 futures options pp. 1561-1567 Downloads
Chou-Wen Wang and Ting-Yi Wu
Athens' Olympic Games 2004 impact on sponsors' stock returns pp. 1569-1580 Downloads
Aristeidis Samitas, Dimitris Kenourgios and Peter Zounis
Deregulation, ownership and profit performance of banks: evidence from India pp. 1581-1595 Downloads
Rudra Sensarma

Volume 18, issue 18, 2008

Institutional flows and equity style diversification pp. 1441-1450 Downloads
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 Downloads
Olasupo Olusi and Haikal Abdul-Majid
The value of stability ratings to the Canadian income trust market pp. 1465-1474 Downloads
H. Semih Yildirim, Prem Mathew and Priscilla Neeliah-Chinniah
Intraday stock returns and performance of a simple market model pp. 1475-1480 Downloads
Elvan Aktas
Post-Bretton Woods evidence on PPP under different exchange rate regimes pp. 1481-1488 Downloads
Rakesh Bissoondeeal
Dynamic causality between intraday return and order imbalance in NASDAQ speculative top gainers pp. 1489-1499 Downloads
YongChern Su and HanChing Huang
Modelling cross-sectional profitability and capital intensity using panel corrected significance tests pp. 1501-1513 Downloads
Jason Hecht

Volume 18, issue 17, 2008

The quiet period is making noise again pp. 1363-1378 Downloads
Michael Highfield, Patrick Lach and Larry White
Empirical evidence on feedback trading in mature and emerging stock markets pp. 1379-1389 Downloads
Martin Bohl and Pierre Siklos
Macro shocks and the Japanese stock market pp. 1391-1400 Downloads
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 Downloads
Theophano Patra and Sunil Poshakwale
Merger momentum and market valuations: the UK evidence pp. 1411-1423 Downloads
Antonios Antoniou, Jie Guo and Dimitris Petmezas
Fundamental uncertainty and stock market volatility pp. 1425-1440 Downloads
Ivo Arnold and Evert B. Vrugt

Volume 18, issue 16, 2008

The MSCI-Canada index rebalancing and excess comovement pp. 1277-1287 Downloads
Jerry Coakley, P. Kougoulis and J. C. Nankervis
Empirical distributions of stock returns: Paris stock market, 1980-2003 pp. 1289-1302 Downloads
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 Downloads
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 Downloads
Luis Ferruz, Javier Nievas and Maria Vargas
The relationship between stock return volatility and trading volume: the case of the Philippines pp. 1333-1341 Downloads
Manabu Asai and Angelo Unite
The co-movement of stock prices, herd behaviour and high-tech mania pp. 1343-1350 Downloads
Wen-Chung Guo and Hsiu-Ting Shih
Closing inefficient affiliates: evidence from Korean conglomerates pp. 1351-1361 Downloads
Heechul Min and Wook Sohn

Volume 18, issue 15, 2008

International transmissions in US-Japanese stock markets pp. 1193-1200 Downloads
Youta Ishii
Estimating stock market volatility using asymmetric GARCH models pp. 1201-1208 Downloads
Dima Alberg, Haim Shalit and Rami Yosef
The impact of unsecured debt on financial pressure among British households pp. 1209-1220 Downloads
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 Downloads
V. Boinet, Andros Gregoriou and C. Ioannidis
Degree of market imperfections: evidence from four Asian index futures markets pp. 1233-1246 Downloads
Janchung Wang
Simulating convertible bond arbitrage portfolios pp. 1247-1262 Downloads
Mark Hutchinson and Liam A. Gallagher
Revisiting East Asian exchange rates: the same spirit under a different sky pp. 1263-1276 Downloads
Cem Payaslıoğlu

Volume 18, issue 14, 2008

Hot IPOs can damage your long-run wealth! pp. 1111-1120 Downloads
Jerry Coakley, Leon Hadass and Andrew Wood
Bank efficiency and share performance: evidence from Greece pp. 1121-1130 Downloads
Fotios Pasiouras, Aggeliki Liadaki and Constantin Zopounidis
Client profiles and access to retail bank services in South Africa pp. 1131-1146 Downloads
Charles Okeahalam
The pricing and impact of rights issues of equity in Australia pp. 1147-1160 Downloads
Sian Owen and Jo-Ann Suchard
The impact of listing stock options on the underlying securities: the case of Taiwan pp. 1161-1172 Downloads
Dar-Hsin Chen and Po-Hsun Chang
Estimating banks' equity duration: a panel cointegration approach pp. 1173-1180 Downloads
Abdulnasser Hatemi-J and Eduardo Dacillo Roca
Exchange rate uncertainty and corporate values: evidence from Taiwan pp. 1181-1192 Downloads
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 Downloads
Jagdish Handa and Shubha Rahman Khan
The market response to information quality shocks: the case of Enron pp. 1051-1066 Downloads
Peter Gerard Dunne, Haim Falk, John Forker and Ronan Powell
Mergers and acquisitions waves in the UK: a Markov-switching approach pp. 1067-1074 Downloads
Marcelo Resende
Nonlinear short-run adjustments in US stock market returns pp. 1075-1083 Downloads
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 Downloads
Samih Antoine Azar
Is Baumol's 'square root law' still relevant? evidence from micro-level data pp. 1091-1098 Downloads
David Bounie and Abel François
What factors drive IPO aftermarket risk? pp. 1099-1110 Downloads
K. Gleason, James Johnston and J. Madura

Volume 18, issue 12, 2008

Weather biases in the NFL totals market pp. 947-953 Downloads
Richard Borghesi
Determinants of the initial IPO performance: evidence from Hong Kong and Taiwan pp. 955-963 Downloads
Chien-Ting Lin and Shou-Ming Hsu
Macroeconomic instability in the European monetary system? pp. 965-983 Downloads
A. Morales-Zumaquero and Simon Sosvilla-Rivero
Nonneutral short-run effects of derivatives on gold prices pp. 985-994 Downloads
Adrienne Kearney and Raymond Lombra
Impact of ETF inception on the valuation and trading of component stocks pp. 995-1007 Downloads
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 Downloads
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 Downloads
Dany Aoun and Almas Heshmati

Volume 18, issue 11, 2008

Reassessing co-movements among G7 equity markets: evidence from iShares pp. 863-877 Downloads
M. Barari, Brian M. Lucey and S. Voronkova
What drives the performance of cooperative financial institutions? Evidence for US credit unions pp. 879-893 Downloads
John Goddard, Donal McKillop and John O.S. Wilson
Time-varying conditional dependence in Chinese stock markets pp. 895-916 Downloads
Thierry Ane, Loredana Ureche-Rangau and Chiraz Labidi
Components of the profitability of technical currency trading pp. 917-930 Downloads
Stephan Schulmeister
Financial liberalization and bank efficiency: evidence from post-war Lebanon pp. 931-946 Downloads
Rima Turk Ariss

Volume 18, issue 10, 2008

Skewness and asymmetry in futures returns and volumes pp. 777-800 Downloads
Alexander Eastman and Brian M. Lucey
Public-to-private buy-outs, distress costs and private equity pp. 801-819 Downloads
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 Downloads
Domenico Sarno
The cost of downside protection and the time diversification issue in South Asian stock markets pp. 835-843 Downloads
Lakshman Alles
Testing for structural breaks in GARCH models pp. 845-862 Downloads
Daniel R. Smith

Volume 18, issue 9, 2008

Secondary market pricing behaviour around UK bond auctions pp. 691-699 Downloads
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 Downloads
Rasoul Rezvanian, Narendar Rao and Seyed Mehdian
Does leverage influence auditor choice? A cross-country analysis pp. 715-731 Downloads
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 Downloads
Heng Chen, Russell Smyth and Wing-Keung Wong
Efficiency of Bangladesh stock market: evidence from monthly index and individual firm data pp. 749-758 Downloads
M. Kabir Hassan and S. S. H. Chowdhury
Classification of GARCH time series: an empirical investigation pp. 759-764 Downloads
T. Kalantzis and D. Papanastassiou
Pricing generalized capped exchange options pp. 765-776 Downloads
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 Downloads
David Sokulsky, Robert Brooks and Sinclair Davidson
Stock market reaction to capital expenditure announcements by UK firms pp. 617-627 Downloads
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 Downloads
Ho-Young Lee
What happened to pacific-basin emerging markets after the 1997 financial crisis? pp. 639-658 Downloads
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 Downloads
B. Jirasakuldech, Riza Emekter and Unro Lee
The behaviour of a small foreign exchange market with a long-term peg-Barbados pp. 673-682 Downloads
DeLisle Worrell, Roland Clairmonte Craigwell and Travis Mitchell
European mutual funds and portfolio's country exposure: does active management add value? pp. 683-689 Downloads
Javier Rodriguez

Volume 18, issue 7, 2008

Changing-regime volatility: a fractionally integrated SETAR model pp. 519-526 Downloads
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 Downloads
Par Sjolander
The financial structure of nonlisted firms pp. 559-568 Downloads
Suzan Hol and Nico Van der Wijst
Volatility amongst firms in the Dow Jones Eurostoxx50 Index pp. 569-582 Downloads
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 Downloads
Eduardo Dacillo Roca and Victor Wong
Do common volatility models capture cyclical behaviour in volatility? pp. 599-604 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
Syouching Lai and Hungchih Li
An eclectic approach to currency crises: drawing lessons from the EMS experience pp. 503-519 Downloads
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 Downloads
Xiaoqing Fu and Shelagh Heffernan
Forecasting economic time series with the DyFor genetic program model pp. 357-378 Downloads
Neal Wagner, Moutaz Khouja, Zbigniew Michalewicz and Rob Roy McGregor
Skewness preference, value and size effects pp. 379-386 Downloads
Suchismita Mishra, Richard DeFusco and Arun J. Prakash
Does currency crisis identification matter? pp. 387-395 Downloads
S. DeVicerte, P. Alvarez, J. Perez and C. Caso
Testing unitary and bargaining models of Chinese household food consumption pp. 397-410 Downloads
Jason Dietrich
The mean/volatility asymmetry in Asian stock markets pp. 411-419 Downloads
Yung-Shi Liau and Jack Yang
Foreign investment, regulation, volatility spillovers between the futures and spot markets: evidence from Taiwan pp. 421-430 Downloads
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 Downloads
Franz Rudolf Hahn
Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion pp. 267-273 Downloads
Sivagowry Sriananthakumar and Param Silvapulle
Beyond greed, fear and the iron curtain pp. 275-293 Downloads
Robert Durand and Marta Simon
Japanese stock movements from 1991 to 2005: evidence from high- and low-frequency data pp. 295-307 Downloads
Jun Nagayasu
Financial analysts' stock recommendation revisions and stock price changes pp. 309-325 Downloads
Yung-Ho Chang and Chia-Chung Chan
An empirical study of interest rate determination rules pp. 327-343 Downloads
Keshab R Bhattarai

Volume 18, issue 3, 2007

The short-run wealth effects of foreign divestitures by UK firms pp. 173-184 Downloads
Jerry Coakley, Hardy Thomas and Han-Min Wang
Value performance of European bank acquisitions pp. 185-198 Downloads
Robert Lensink and Iryna Maslennikova
Financial crisis and sectoral diversification of Argentine banks, 1999-2004 pp. 199-211 Downloads
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 Downloads
Xiao-Ming Li and Qing Xu
Benefiting from diversity in Middle Eastern stock markets pp. 229-237 Downloads
Naser Abumustafa
Extreme returns and the contagion effect between the foreign exchange and the stock market: evidence from Cyprus pp. 239-254 Downloads
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 Downloads
Nikolaos P. Daskalakis and Maria PSILLAKI
Market integration and extreme co-movements in APEC emerging equity markets pp. 99-113 Downloads
Xiao-Ming Li and Lawrence C. Rose
Sudden shifts in variance in the Spanish market: persistence and spillover effects pp. 115-124 Downloads
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 Downloads
Timotheos Angelidis and Nikolaos Tessaromatis
Why does the correlation between stock and bond returns vary over time? pp. 139-151 Downloads
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 Downloads
Francisco Gonzalez-Rodriguez

Volume 18, issue 1, 2007

Measuring bank profit efficiency pp. 1-8 Downloads
Trevor Fitzpatrick and Kieran McQuinn
Underpricing in Chinese IPOs-some recent evidence pp. 9-22 Downloads
Haini Deng and Gregor Dorfleitner
Declared investment plans and IPO firm value pp. 23-39 Downloads
Paula Hill
Risk premium: insights over the threshold pp. 41-59 Downloads
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 Downloads
Gioia Pescetto
Re-examining purchasing power parity for East-Asian currencies: 1976-2002 pp. 75-85 Downloads
Ahmad Zubaidi Baharumshah, Tze-Haw Chan and Stilianos Fountas
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