Applied Financial Economics

1997 - 2014

Current editor(s): Anita Phillips

From Taylor & Francis Journals
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Volume 11, issue 6, 2001

Forecasting capital flows to emerging markets: a Kalman filtering approach pp. 581-589

Ashoka Mody, Mark Taylor and Jung Yeon Kim

Measuring convergence speed of asset prices toward a pre-announced target pp. 591-601

Hans Dewachter and Dirk Veestraeten

Interest rate spreads between Italy and Germany: 1995-1997 pp. 603-612

Marcello D'Amato and Barbara Pistoresi

Curbing expense preference behaviour in commercial banking: econometric evidence pp. 613-617

Franklin Mixon and Kamal Upadhyaya

The contrarian investment strategy: additional evidence pp. 619-640

Johnathan Mun, Richard Kish and Geraldo Vasconcellos

Is there a long run relationship between stock returns and monetary variables: evidence from an emerging market pp. 641-649

Gulnur Muradog Lu, Kivilcim Metin Özcan and Reha Argac

Price volatility, trading volume, and market depth: evidence from the Japanese stock index futures market pp. 651-658

Toshiaki Watanabe

The behaviour of the currency-deposit ratio in mainland China pp. 659-668

Mohammad Hasan

The conditional relation between beta and returns in the Hong Kong stock market pp. 669-680

Keith Lam

Evaluating currency market efficiency: are cointegration tests appropriate? pp. 681-691

Neil Kellard, Paul Newbold and Tony Rayner

Volume 11, issue 5, 2001

Editorial pp. 467-467

Sherry Dixon

The distributional properties of shocks to a fractional I(d) process having a marginal exponential distribution pp. 469-474

Clive Granger and Yongil Jeon

The monetary approach to exchange rates and the behaviour of the Canadian dollar over the long run pp. 475-481

Bill Francis, Iftekhar Hasan and James Lothian

Handle with care: cost of equity estimation with the discounted dividend model when corporations repurchase pp. 483-487

Douglas Lamdin

Lead-lag patterns between small and large size portfolios in the London stock exchange pp. 489-495

Terence Mills and Jordan Jordanov

Overreaction in the NFL point spread market pp. 497-509

Roger Vergin

Exchange rate misalignment and nonlinear convergence to purchasing power parity in the European exchange rate mechanism pp. 511-526

Matteo Iannizzotto

Using accounting data to measure efficiency in banking: an application to Portugal pp. 527-538

Paulo Soares De Pinho

Efficiently ARMA-GARCH estimated trading volume characteristics in thinly traded markets pp. 539-556

P. B. Solibakke

Efficiency and productivity change in UK banking pp. 557-571

Leigh Drake

A multivariate test for stock market efficiency: the case of ASE pp. 573-579

Manolis Kavussanos and Everton Dockery

Volume 11, issue 4, 2001

Modelling the day-of-the-week effect in the Kuwait Stock Exchange: a nonlinear GARCH representation pp. 353-359

Nabeel Al-Loughani and David Chappell

Changes in settlement regime and the modulation of day-of-the-week effects in stock returns pp. 361-372

Stephen Keef and Paul McGuinness

The effects of firm-specific variables and consensus forecast data on the pricing of large Swedish firms' stocks pp. 373-384

Anders Johansson and Lars Rolseth

The lead-lag relationship between the FTSE100 stock index and its derivative contracts pp. 385-393

Owain ap Gwilym and Mike Buckle

Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange pp. 395-402

Epaminondas Panas

The term spread as a cyclical indicator: a forecasting evaluation pp. 403-409

Bryan Boulier and Herman Stekler

The stability of risk factors in the UK stock market pp. 411-422

S. Saiful Bahri and Lawrence Leger

Labour demand and efficiency in Swedish savings banks pp. 423-433

Almas Heshmati

How efficient are FX markets? Empirical evidence of arbitrage opportunities using high-frequency data pp. 435-444

Christos Kollias and Kostantinos Metaxas

Modelling the volatility in East European emerging stock markets: evidence on Hungary and Poland pp. 445-456

Sunil Poshakwale and Victor Murinde

Persistence of mutual fund operating characteristics: returns, turnover rates, and expense ratios pp. 457-466

William Droms and David Walker

Volume 11, issue 3, 2001

An estimation of X-inefficiency in Taiwan's banks pp. 237-242

Tser-Yieth Chen

The empirical relationship between mutual fund size and operational efficiency pp. 243-251

Stephen Zera and Jeff Madura

Volatility persistence in asset markets: long memory in high/low prices pp. 253-260

David Byers and David Peel

A note on testing the monetary model of the exchange rate pp. 261-268

Mathias Moersch and Dieter Nautz

Computing sets of expected utility maximizing distributions for common utility functions pp. 269-277

Paul Thistle and John Burnett

The predictive power of the monetary model of exchange rate determination pp. 279-286

George Tawadros

The rationality of price forecasts: a directional analysis pp. 287-290

Jordi Pons

Positive feedback trading in emerging capital markets pp. 291-297

Gregory Koutmos and Reza Saidi

The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange pp. 299-315

Thomas Lux

The determinants of the Tunisian deposit banks' performance pp. 317-319

Sami Ben Naceur and Mohamed Goaied

Fractional cointegration of voting and non-voting shares pp. 321-332

Ingolf Dittmann

Bayesian analysis of the dividend behaviour pp. 333-339

Ho-Chuan Huang

Volatility dynamics in high frequency financial data: an empirical investigation of the Australian equity returns pp. 341-352

G. Mujtaba Mian and Christopher Adam

Volume 11, issue 2, 2001

Induced persistence or reversals in fund performance?: the effect of survivorship bias pp. 119-126

Terrence Hallahan and Robert Faff

Equilibrium adjustment, basis risk and risk transmission in spot and forward foreign exchange markets pp. 127-136

Peijie Wang and Ping Wang

An examination of return and volatility patterns on the Irish equity market pp. 137-146

Lakshman Alles and Louis Murray

Charter status, ownership type and efficiency in the thrift industry pp. 147-155

Janice Caudill, Steven Caudill and Daniel Gropper

Testing a two factor APT model on Australian industry equity portfolios: the effect of intervaling pp. 157-163

Thomas Josev, Robert Brooks and Robert Faff

Risk taking behaviour and managerial ownership in the United States life insurance industry pp. 165-171

Carl Chen, Thomas Steiner and Ann Marie White

A nonparametric test for marginal conditional stochastic dominance pp. 173-177

Edward Seiler

Volatility smiles and the information content of news pp. 179-186

Fabio Fornari and Antonio Mele

The risk and return of UK equities following price innovations: a case of market inefficiency? pp. 187-196

Robert Hudson, Kevin Keasey and Kevin Littler

An empirical analysis of the relationship of bond yield spreads and macro economic factors pp. 197-207

George Athanassakos and Peter Carayannopoulos

Nonlinearities in the black market zloty-dollar exchange rate: some further evidence pp. 209-220

David McMillan and Alan Speight

CRISMA revisited pp. 221-230

Alan Goodacre and Tessa Kohn-Speyer

Effects of financial structure and instruments on income of low income credit unions pp. 231-236

Ellene Kebede and Curtis Jolly

Volume 11, issue 1, 2001

Nonparametric cointegration analysis of real exchange rates pp. 1-8

Jerry Coakley and Ana-Maria Fuertes

Noncredit risks subsidization in the international capital standards pp. 9-16

Sunil Mohanty

Broken trend output in a model of stock returns and economic activity pp. 17-21

Perry Sadorsky

Price spread and convenience yield behaviour in the international oil market pp. 23-36

Nikolaos Milonas and Thomas Henker

Hedging sterling eurobond portfolios: a proposal for eurobond futures contract pp. 37-44

A. D. Clare and M. C. Oozeer

Czech parallel capital markets: discrepancies and inefficiencies pp. 45-55

Jan Hanousek and Libor Nemecek

The hedging effectiveness of stock index futures: evidence for the FTSE-100 and FTSE-mid250 indexes traded in the UK pp. 57-68

Darren Butterworth and Phil Holmes

International correlations and excess returns in European stock markets: does EMU matter? pp. 69-73

Bernd Kempa and Michael Nelles

Impact of interest rate swaps on corporate capital structure: an empirical investigation pp. 75-81

Jian Yang, George Davis and David Leatham

The demand for household debt in the USA: evidence from the 1995 Survey of Consumer Finance pp. 83-91

Jonathan Crook

Volatility in the transition markets of Central Europe pp. 93-105

Maria Kasch-Haroutounian and Simon Price

Expiration-day effect: evidence from high-frequency data in the Hong Kong stock market pp. 107-118

Andy Kan