Applied Financial Economics

1997 - 2014

Current editor(s): Anita Phillips

From Taylor & Francis Journals
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Volume 13, issue 12, 2003

Efficiency tests for mutual fund portfolios pp. 869-876

Jati Sengupta

Increasing exchange rate volatility during the recent float pp. 877-883

Michael Frömmel and Lukas Menkhoff

Currency risks, government procurement and counter-trade: a note pp. 885-889

Sang-Rim Choi and Adrian Tschoegl

Investor sentiment, market timing, and futures returns pp. 891-898

Changyun Wang

Parities and Spread Trading in Gold and Silver Markets: A Fractional Cointegration Analysis pp. 899-911

Shi-Miin Liu and Chih-Hsien Chou

Investment and firm value: an analysis using panel data pp. 913-923

Esther Del Brio, Alberto De Miguel and Julio Pindado

Financial development and economic growth in India: 1970-1971 to 1998-1999 pp. 925-929

Prabir Bhattacharya and M. N. Sivasubramanian

Volume 13, issue 11, 2003

A two-factor model of the German term structure of interest rates pp. 783-806

Nuno Cassola and Jorge Luis

The size effect and the random walk hypothesis: evidence from the London Stock Exchange using Markov Chains pp. 807-815

T. C. Mills and J. V. Jordanov

Intraday information transmission between DJIA spot and futures markets pp. 817-827

Gokce Soydemir and A. George Petrie

Dispersion of analysts' expectations and the cross-section of stock returns pp. 829-839

Bokhyeon Baik and Cheolbeom Park

GMM-based testing procedures of the mixture of distributions model pp. 841-848

Ainhoa Zarraga

Volume 13, issue 10, 2003

Money market operations and short-term interest rate volatility in the United Kingdom pp. 701-719

Anne Wetherilt

Impact of nonearnings disclosures on market risk: evidence with interim reports pp. 721-729

Antti Kanto and Hannu Schadewitz

The cross section of expected futures returns and the Keynesian hypothesis pp. 731-739

Joelle Miffre

A contemporary analysis of Mexican stock market volatility pp. 741-745

Jorge Gonzalez, Roger Spencer and Daniel Walz

Returns and volatility on the Chinese stock markets pp. 747-752

Robert Brooks and Vanitha Ragunathan

Indirect convertibility as a money rule for inflation targeting pp. 753-761

J. Stephen Ferris and J. A. Galbraith

A long memory test of the long-run Fisher effect in the G7 countries pp. 763-769

Noor Ghazali and Shamshubariah Ramlee

A study of Spanish firms' security issue decision under asymmetric information and agency costs pp. 771-782

Ruben Arrondo and Silvia Gomez-Anson

Volume 13, issue 9, 2003

An investigation of the unconditional distribution of South African stock index returns pp. 623-633

O. Beelders

An empirical investigation of asset price bubbles in Latin American emerging financial markets pp. 635-643

Lucio Sarno and Mark Taylor

Econometrics of yield spreads in the money market: a note pp. 645-653

Sumon Bhaumik and D. Coondoo

Futures trading activity and stock price volatility: some extensions pp. 655-664

A. Chatrath, Frank Song and B. Adrangi

Stochastic behaviour of Deutsche mark exchange rates within EMS pp. 665-676

N. T. Laopodis

The association between disclosure level and information quality: voluntary management earnings forecasts pp. 677-692

Hark-Ppin Yhim, Khondkar Karim and Robert Rutledge

Inflation and output as predictors of stock returns and volatility: international evidence pp. 693-700

Nicole Davis and Ali Kutan

Volume 13, issue 8, 2003

Stability of the day of the week effect in return and in volatility at the Indian capital market: a GARCH approach with proper mean specification pp. 553-563

Kaushik Bhattacharya, Nityananda Sarkar and Debabrata Mukhopadhyay

Determinants of commercial banks' profitability in Malawi: a cointegration approach pp. 565-571

E. W. Chirwa

Pros win! Pros win!… or do they?: an analysis of the 'Dartboard' contest using stochastic dominance pp. 573-579

Ross Dickens and Roger Shelor

Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers pp. 581-592

Felix Chan and Michael McAleer

An examination of the information role of the yield spread and stock returns for predicting future GDP pp. 593-597

Ning Li, David. Ayling and Lynn Hodgkinson

Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures pp. 599-607

David McMillan and Alan Speight

Mega-mergers in the US banking industry pp. 609-622

Said Elfakhani, Rita Ghantous and Imad Baalbaki

Volume 13, issue 7, 2003

Stock market integration and financial crises: the case of Asia pp. 477-486

Jian Yang, James Kolari and Insik Min

Intraday volatility spillovers in the German equity index derivatives markets pp. 487-494

G. Geoffrey Booth and Raymond So

Long memory and outliers in stock market returns pp. 495-502

Jussi Tolvi

Beta, the Treynor ratio, and long-run investment horizons pp. 503-508

Charles Hodges, Walton Taylor and James Yoder

Seasonal indexation bias in US Treasury Inflation-indexed Securities pp. 509-516

Michael Gapen

Voluntary trading suspensions in Singapore pp. 517-523

Ruth Tan and W. Y. Yeo

Monetary policy rules and regime shifts pp. 525-535

Giorgio Valente

An alternative conditional asymmetry specification for stock returns pp. 537-541

Kurt Brännäs and Niklas Nordman

How rewarding is technical analysis? Evidence from Singapore stock market pp. 543-551

Wing-Keung Wong, Meher Manzur and Boon-Kiat Chew

Volume 13, issue 6, 2003

Political administration effects and day-of-the-week effects in New Zealand's foreign exchange rate pp. 401-412

Stephen Keef and Melvin Roush

Cross-sectional estimation of stock returns in small markets: The case of the Athens Stock Exchange pp. 413-426

George Leledakis, Ian Davidson and George Karathanassis

Does diversification strategy matter in explaining capital structure? Some evidence from Spain pp. 427-430

Eduardo Menendez-Alonso

Parametric estimation of different interest rate processes pp. 431-446

Michalis Ioannides and Frank Skinner

Examining intraday returns with buy/sell information pp. 447-461

Shinn-Juh Lin and Jian Yang

Estimation of persistence in log-volatility using panel data pp. 463-472

Yoshitsugu Kitazawa

Exchange rate determination during hyperinflation: the case of the Romanian lei pp. 473-476

Costas Karfakis

Volume 13, issue 5, 2003

On the equilibrium value of the peseta pp. 317-335

Ivan Paya, A. Duarte and K. Holden

What Determines Maturity? An analysis of German Commercial Banks' foreign Assets pp. 337-351

Claudia Buch

Calendar anomalies in the Turkish foreign exchange markets pp. 353-360

Kursat Aydoğan and G. Geoffrey Booth

How is the market reaction to stock splits? pp. 361-368

Juan Reboredo

The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case pp. 369-378

Benjamin Tabak

A trend towards being normal: the 'A' share experience on the Shanghai stock exchange pp. 379-385

Anthony Yanxiang Gu

The dynamics of bond yields and the stock index - with an application to the UK stock and bond market pp. 387-399

Jan Bo Jakobsen and Carsten Sørensen

Volume 13, issue 4, 2003

Is US inflation low because the dollar value is high? Some short- and long run evidence pp. 237-243

A. F. Darrat, M. C. Chopin and C. Topuz

Non-linear dynamics in futures prices: evidence from the coffee, sugar and cocoa exchange pp. 245-256

B. Adrangi and A. Chatrath

The relationship between commercial banks' interest rates and loan sizes: evidence from a small open economy pp. 257-266

Winston Moore and Roland Craigwell

Credit channel and credit shocks in Canadian macrodynamics - a structural VAR approach pp. 267-277

J. Safaei and N. E. Cameron

Electoral management, political risk and exchange rate dynamics: the Greek experience pp. 279-285

Fotios Siokis and Panayotis Kapopoulos

Cross- and auto-correlation effects arising from averaging: the case of US interest rates and equity duration pp. 287-294

Winfried Hallerbach

Event-related GARCH: the impact of stock dividends in Turkey pp. 295-307

Roy Batchelor and Ismail Orakcioglu

Relative development in stock markets: empirical evidence from mainland China and Hong Kong pp. 309-316

Dauvin Peterson, Scott Pardee and Phanindra Wunnava

Volume 13, issue 3, 2003

A study of production efficiencies of integrated securities firms in Taiwan pp. 159-167

K. -L. Wang, Y. -T. Tseng and C. -C. Weng

Comparing forecasting ability of parametric and non-parametric methods: an application with Canadian monthly interest rates pp. 169-176

Burak Saltoğlu

Expected returns and economic risk in Canadian financial markets pp. 177-189

B. Carmichael and L. Samson

Implied option prices from the continuous time CKLS interest rate model: an application to the UK pp. 191-197

K. Ben Nowman and Ghulam Sorwar

The link between monetary policy and stock and bond markets: evidence from the federal funds futures contract pp. 199-209

O Gulley and Jahangir Sultan

Capital asset pricing model on UK securities using ARCH pp. 211-223

David Morelli

Reflected glory and failure: international sporting success and the stock market pp. 225-235

Glenn Boyle and Brett Walter

Volume 13, issue 2, 2003

The role of fundamentalists and technicians in the foreign exchange market when the domestic currency is pegged to a basket pp. 79-84

I. A. Moosa and N. E. Al-Loughani

Making political capital: the behaviour of the UK capital markets during Election'97 pp. 85-95

James Steeley

An empirical investigation on the determinants of capital structure: the UK and Italian experience pp. 97-112

A. Panno

Technical analysis in foreign exchange markets: evidence from the EMS pp. 113-122

F. FernAndez-RodrIguez, Simon Sosvilla-Rivero and Julian Andrada-Felix

The role of information in Hong Kong individual stock futures trading pp. 123-131

M. D. Mckenzie and R. D. Brooks

The determinants of corporate financial performance in the Bermuda insurance market pp. 133-143

M. Adams and Mike Buckle

Evidence on the determinants of equity issue method in the UK pp. 145-157

Bruce Burton and D. M. Power

Volume 13, issue 1, 2003

Cost and profit efficiency in the Spanish banking sector (1985-1996): a non-parametric approach pp. 1-12

Joaquin Maudos and José Pastor

Intraday stock price patterns in the Greek stock exchange pp. 13-22

N. A. Niarchos and Christos Alexakis

Impulse responses in a threshold cointegrated system: the case of natural gas markets pp. 23-35

T. H. Root and D. Lien

Forward-looking agents and macroeconomic determinants of the equity price in a small open economy pp. 37-54

Amir Kia

Why firms hedge with currency derivatives: an examination of transaction and translation exposure pp. 55-69

Niclas Hagelin

Seasonal cointegration analysis for German M3 money demand pp. 71-78

Helmut Herwartz and Hans-Eggert Reimers