Applied Financial Economics

1997 - 2014

Current editor(s): Anita Phillips

From Taylor & 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 Payne and Hassan Mohammadi

The value relevance of accounting and financial information: panel data evidence pp. 1219-1224

Sami 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 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 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 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 Anderson and Robert 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 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 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 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 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 Staikouras

Funding new ventures: some strategies for raising early finance pp. 773-778

Rajeev 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 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 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 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 Jürg 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 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 Kumbhakar and Ana Lozano-Vivas

Robust estimates of daily seasonality in the Irish equity market pp. 517-523

Brian 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 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 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 Faff, Tim 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 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 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 Steeley

Volume 14, issue 4, 2004

Short patches of outliers, ARCH and volatility modelling pp. 221-231

Philip Hans Franses, Dick van Dijk and Andre 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 Peel, Michael Peel and Ioannis 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 Harris, Cumhur Küçüközmen and Fatih Yilmaz

Monthly and semi-annual seasonality in the Irish equity market 1934-2000 pp. 203-208

Brian 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 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 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 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

Ardian Harri and B 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 Markellos

Money demand stability under currency substitution: some recent evidence pp. 19-27

Santi Chaisrisawatsuk, Subhash Sharma and Abdur Chowdhury

A Multivariate I(2) cointegration analysis of German hyperinflation pp. 29-41

Dimitris Georgoutsos and Georgios 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