International Review of Financial Analysis

1992 - 2025

Current editor(s): B.M. Lucey

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Volume 18, issue 5, 2009

French and U.S. trading of cross-listed stocks around the period of U.S. decimalization: Volume, spreads, and depth effects pp. 223-231

Bing-Xuan Lin, David Michayluk, Henry R. Oppenheimer and Sanjiv Sabherwal

"Extended Black" term structure models pp. 232-238

Marco Realdon

Duration of IPOs between offering and listing: Cox proportional hazard models--Evidence for Chinese A-share IPOs pp. 239-249

Haifeng Guo and Robert Brooks

The estimation and determinants of emerging market country risk and the dynamic conditional correlation GARCH model pp. 250-259

Andrew Marshall, Tubagus Maulana and Leilei Tang

Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach pp. 260-270

John-Peter D. Chateau

Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis pp. 271-276

Yudong Wang, Li Liu and Rongbao Gu

Economic convergence and the fundamental equilibrium exchange rate in central and eastern Europe pp. 277-284

Michał Rubaszek and Lukasz Rawdanowicz

Bank health in varying macroeconomic conditions: A panel study pp. 285-293

Selim Akhter and Kevin Daly

The impact of banking regulations on banks' cost and profit efficiency: Cross-country evidence pp. 294-302

Fotios Pasiouras, Sailesh Tanna and Constantin Zopounidis

The effect of downside risk reduction on UK equity portfolios included with Managed Futures Funds pp. 303-310

Kai-Hong Tee

Volume 18, issue 4, 2009

ARCH and GARCH models vs. martingale volatility of finance market returns pp. 151-153

Joseph L. McCauley

Unifractality and multifractality in the Italian stock market pp. 154-163

Enrico Onali and John Goddard

Earnings management and firm financial motives: A financial investigation of UK listed firms pp. 164-173

George Iatridis and George Kadorinis

Multivariate affine generalized hyperbolic distributions: An empirical investigation pp. 174-184

José Fajardo and Aquiles de Farias

The effectiveness of the VaR-based portfolio insurance strategy: An empirical analysis pp. 185-197

Chonghui Jiang, Yongkai Ma and Yunbi An

Regime switches between dividend and bond yields pp. 198-204

Petros Migiakis and Fivos V. Bekiris

Adverse selection costs for NASDAQ and NYSE after decimalization pp. 205-211

Christine X. Jiang, Jang-Chul Kim and Robert A. Wood

Together we invest? Individual and institutional investors' trading behaviour in Poland pp. 212-221

Christiane Goodfellow, Martin T. Bohl and Bartosz Gebka

Volume 18, issue 3, 2009

Volatility transmission between oil prices and equity sector returns pp. 95-100

Farooq Malik and Bradley Ewing

Is integration I(d) applicable to observed economics and finance time series? pp. 101-108

Joseph L. McCauley, Kevin E. Bassler and Gemunu H. Gunaratne

Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk pp. 109-116

A. Assaf

Are RiskMetrics forecasts good enough? Evidence from 31 stock markets pp. 117-124

David G. McMillan and Dimos Kambouroudis

The dynamics of the Monday effect in international stock indices pp. 125-133

Stephen Keef, Mohammed Khaled and Hui Zhu

The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects pp. 134-150

Thierry Ané and Carole Métais

Volume 18, issue 1-2, 2009

Modelling stock returns in Africa's emerging equity markets pp. 1-11

Imhotep Alagidede and Theodore Panagiotidis

Buy and sell dynamics following high market returns: Evidence from China pp. 12-20

Udomsak Wongchoti, Fei Wu and Martin Young

Rating model arbitrage in CDO markets: An empirical analysis pp. 21-33

Stefan Morkötter and Simone Westerfeld

How to quantify the influence of correlations on investment diversification pp. 34-39

Matús Medo, Chi Ho Yeung and Yi-Cheng Zhang

The efficiency of international information flow: Evidence from the ETF and CEF prices pp. 40-49

J. Christopher Hughen and Prem G. Mathew

Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange pp. 50-57

Daniel Cajueiro, Periklis Gogas and Benjamin Tabak

Short-run deviations and time-varying hedge ratios: Evidence from agricultural futures markets pp. 58-65

Taufiq Choudhry

Informed trading and liquidity in the Shanghai Stock Exchange pp. 66-73

Woon Wong, Dijun Tan and Yixiang Tian

The value of stock analysts' recommendations: Evidence from emerging markets pp. 74-83

Fariborz Moshirian, David Ng and Eliza Wu

Heterogeneity in asset allocation decisions: Empirical evidence from Switzerland pp. 84-93

Wolfgang Drobetz, Peter Kugler, Gabrielle Wanzenried and Heinz Zimmermann

Volume 17, issue 5, 2008

Empirically based modeling in financial economics and beyond, and spurious stylized facts pp. 767-783

Kevin E. Bassler, Gemunu H. Gunaratne and Joseph L. McCauley

Seasonality in outliers of daily stock returns: A tail that wags the dog? pp. 784-792

Dan Galai, Haim Kedar-Levy and Ben Schreiber

Significant issuance date returns in seasoned equity offerings: An options-based resolution of a puzzle pp. 793-804

Raj Aggarwal and Xinlei Zhao

Betas, market weights and the cost of capital: The example of Nokia and small cap stocks on the Helsinki Stock Exchange pp. 805-819

Martin Lally and Steve Swidler

Nonstationarity of efficient finance markets: FX market evolution from stability to instability pp. 820-837

Joseph L. McCauley

A simple non-linear model with fractional integration for financial time series data pp. 838-848

Luis Gil-Alana

The timeliness of accounting disclosures in international security markets pp. 849-869

C. Mitchell Conover, Robert E. Miller and Andrew Szakmary

Can the traditional Asian US dollar peg exchange rate regime be extended to include the Japanese yen? pp. 870-885

Colm Kearney and Cal Muckley

Noise, equity prices, and hedging: A new approach pp. 886-902

Mark Bertus, Jonathan Godbey, Christoph Hinkelmann and James W. Mahar

Short-term patterns in government bond returns following market shocks: International evidence pp. 903-924

Konstantinos Kassimatis, Spyros Spyrou and Emilios Galariotis

Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates pp. 925-948

Charlotte Christiansen

Go long or short in pyramids? News from the Egyptian stock market pp. 949-970

Andreas Billmeier and Isabella Massa

Component structure for nonstationary time series: Application to benchmark oil prices pp. 971-983

Ramaprasad Bhar, Shawkat Hammoudeh and Mark A. Thompson

Underpricing of Chinese A-share IPOs and short-run underperformance under the approval system from 2001 to 2005 pp. 984-997

Haifeng Guo and Robert Brooks

Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework pp. 998-1011

Kathryn A. Holmes and Robert Faff

Do zero-cost portfolios have the ability to predict economic growth? Evidence from Hong Kong, South Korea and Taiwan pp. 1012-1028

Freddy Davison, Alastair Marsden and Madhu Veeraraghavan

Euro and FIBOR interest rates: A continuous time modelling analysis pp. 1029-1035

K.B. Nowman and B.B.H. Yahia

Portfolio selection subject to experts' judgments pp. 1036-1054

K. Smimou, C.R. Bector and G. Jacoby

Halloween or January? Yet another puzzle pp. 1055-1069

Brian Lucey and Shelly Zhao

How long memory in volatility affects true dependence structure pp. 1070-1086

Beatriz Vaz de Melo Mendes and Nikolai Kolev

Does corporate diversification exacerbate or mitigate earnings management?: An empirical analysis pp. 1087-1109

Pornsit Jiraporn, Young Kim and Ike Mathur

Dynamic betas for Canadian sector portfolios pp. 1110-1122

He, Zhongzhi (Lawrence) and Lawrence Kryzanowski

Empirical risk aversion functions-estimates and assessment of their reliability pp. 1123-1138

Byung Jin Kang and Tong Suk Kim

Are survey forecasts of individual and institutional investor sentiments rational? pp. 1139-1155

Rahul Verma and Priti Verma

Bank efficiency in the new European Union member states: Is there convergence? pp. 1156-1172

Emmanuel Mamatzakis, Christos Staikouras and Anastasia Koutsomanoli-Filippaki

Portfolio maturity choice of Australian cash management trusts pp. 1173-1185

Kevin Davis

A note on takeover success prediction pp. 1186-1193

Ben Branch, Jia Wang and Taewon Yang

Volume 17, issue 4, 2008

Hedging, speculating and risk diversification in international markets: An editorial review pp. 645-646

Lloyd P. Blenman

Asymmetric currency exposure and currency risk pricing pp. 647-663

Chu-Sheng Tai

Information asymmetry, speculation and foreign trading activity: Emerging market evidence pp. 664-680

Cetin Ciner and Ahmet K. Karagozoglu

Systematic risk and international diversification: An empirical perspective pp. 681-698

Kingsley O. Olibe, Franklin A. Michello and Jerry Thorne

International day-of-the-week effects: An empirical examination of iShares pp. 699-715

M. Imtiaz Mazumder, Ting-Heng Chu, Edward M. Miller and Larry J. Prather

Behavioral currency hedging for international portfolios pp. 716-727

Kurtay Ogunc

Asymmetry in the effects of economic fundamentals on rising and falling exchange rates pp. 728-746

Anna V. Vygodina, Thomas S. Zorn and Richard DeFusco

The impact of geographic diversification on firm performance pp. 747-766

Young Kim and Ike Mathur

Volume 17, issue 3, 2008

Common stochastic volatility trends in international stock returns pp. 431-445

Mai Dao and Juergen Wolters

The cointegration relationships among G-7 foreign exchange rates pp. 446-460

Heejoon Kang

Calendar anomaly in the Greek stock market: Stochastic dominance analysis pp. 461-474

Osamah M. Al-Khazali, Evangelos Koumanakos and Chong Soo Pyun

Is the Swedish stock market efficient? Evidence from some simple trading rules pp. 475-490

Massoud Metghalchi, Yung-Ho Chang and Juri Marcucci

Conflicts of interest and China's A-share underpricing pp. 491-506

Gerard Gannon and Yuwei Zhou

New considerations in the announcement effects of privately placed debt pp. 507-522

Steven A. Dennis and Weili Lu

Going-public vs. private sales: A two-tiered agency approach pp. 523-538

Xiangkang Yin

Idiosyncratic volatility and equity returns: UK evidence pp. 539-556

Timotheos Angelidis and Nikolaos Tessaromatis

An investigation on the causal relationships between banking concentration and economic growth pp. 557-570

Paolo Coccorese

Financial crisis and stock market efficiency: Empirical evidence from Asian countries pp. 571-591

Kian-Ping Lim, Robert Brooks and Jae Kim

Stock market bubbles, inflation and investment risk pp. 592-603

Kasimir Kaliva and Lasse Koskinen

Evaluating a non-linear asset pricing model on international data pp. 604-621

Hossein Asgharian and Sonnie Karlsson

Is earnings management opportunistic or beneficial? An agency theory perspective pp. 622-634

Pornsit Jiraporn, Gary A. Miller, Soon Suk Yoon and Young Kim

The ex-date impact of special dividend announcements: A note pp. 635-643

Balasingham Balachandran, Robert Faff and Tuan Anh Nguyen

Volume 17, issue 2, 2008

Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 index options pp. 242-258

Janne Äijö

The time difference effect of a measurement unit in the lead-lag relationship analysis of Korean financial market pp. 259-273

Seung Oh Nam, SeungYoung Oh and Hyun Kyung Kim

Real-time macroeconomic data and ex ante stock return predictability pp. 274-290

Jörg Döpke, Daniel Hartmann and Christian Pierdzioch

Liquidity distribution in the limit order book on the stock exchange of Thailand pp. 291-311

Nuttawat Visaltanachoti, Charlie Charoenwong and David Ding

Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis pp. 312-329

Thomas McInish, David Ding, Chong Soo Pyun and Udomsak Wongchoti

The effect of mergers on implied volatility of equity options pp. 330-344

Gero Geppert and David R. Kamerschen

Reforms in Thai bank governance: The aftermath of the Asian financial crisis pp. 345-362

Shams Pathan, Michael Skully and Jayasinghe Wickramanayake

Stock index futures arbitrage in emerging markets: Polish evidence pp. 363-381

Jedrzej Bialkowski and Jacek Jakubowski

Conditional VaR using EVT - Towards a planned margin scheme pp. 382-395

Malay Bhattacharyya and Gopal Ritolia

Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets pp. 396-410

Benjamin A. Abugri

The profitability of regression-based trading rules for the Shanghai stock market pp. 411-430

Nicolaas Groenewold, Sam Hak Kan Tang and Yanrui Wu

Volume 17, issue 1, 2008

The war on terror and its impact on the long-term volatility of financial markets pp. 1-26

Viviana Fernandez

Stock returns and volatility following the September 11 attacks: Evidence from 53 equity markets pp. 27-46

Jussi Nikkinen, Mohammed Omran, Petri Sahlstrom and Janne Aijo

Sudden changes in volatility in emerging markets: The case of Gulf Arab stock markets pp. 47-63

Shawkat Hammoudeh and Huimin Li

Persistence characteristics of the Chinese stock markets pp. 64-82

Cornelis Los and Bing Yu

U.S. investors and global equity markets pp. 83-107

Anchor Y. Lin and Peggy E. Swanson

An empirical investigation of investor expectations in the currency market pp. 108-133

Austin Murphy

Volume- and size-related lead-lag effects in stock returns and volatility: An empirical investigation of the Warsaw Stock Exchange pp. 134-155

Bartosz Gebka

Co-movements of sector index returns in the world's major stock markets in bull and bear markets: Portfolio diversification implications pp. 156-177

Ilhan Meric, Mitchell Ratner and Gulser Meric

The effects of changes in index composition on stock prices and volume: Evidence from the Istanbul stock exchange pp. 178-197

Recep Bildik and Guzhan Gulay

Point and Figure charting: A computational methodology and trading rule performance in the S&P 500 futures market pp. 198-217

John Anderson and Robert Faff