Applied Financial Economics

1997 - 2014

Current editor(s): Anita Phillips

From Taylor & Francis Journals
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Volume 10, issue 6, 2000

Trading rules and stock returns: some preliminary short run evidence from the Hang Seng 1985-1997 pp. 579-586

J. Andrew Coutts and Kwong-C. Cheung

Productivity growth, market structure, and technological change: evidence from the rural banking sector pp. 587-595

Michael Devaney and William Weber

Index option market activity and cash market volatility under different market conditions: an empirical study from Sweden pp. 597-613

Niclas Hagelin

Purchasing power parity, nonlinearity and chaos pp. 615-622

Apostolos Serletis and Periklis Gogas

Implications of dependence in stock returns for asset allocation pp. 623-633

Alois Geyer

The information content of corporate domicile relocation announcements: the case of Hong Kong pp. 635-644

Siu-Yeung Chan and Wai-Ming Fong

An empirical examination of the value relevance of consolidated earnings figures under a cost of acquisition regime pp. 645-653

Dimosthenis Hevas, George Karathanassis and Nickolaos Iriotis

The variability of inflation and real stock returns pp. 655-665

Xiaoqiang Hu and Thomas Willett

US inflation-indexed bonds in the long run: a hypothetical view pp. 667-677

Nick Taylor

On the information content of futures market and professional forecasts of interest rates pp. 679-684

Hamid Baghestani, Woo Jung and Daniel Zuchegno

Exchange-rate uncertainty and dollarization: a structural vector error correction approach to estimating money demand pp. 685-692

Susan Pozo and Mark Wheeler

The behaviour of Irish ISEQ index: some new empirical tests pp. 693-700

Philip Hamill, Kwaku Opong and Dan Sprevak

Volume 10, issue 5, 2000

The Federal Reserve's response to exchange rate shocks pp. 461-470

Djeto Assane and Bernard Malamud

The pound sterling and the franc Poincare in the 1920s: long-run relationships, speculation and temporal stability pp. 471-482

Dimitris Georgoutsos and Georgios Kouretas

Modelling day-of-the-week seasonality in the S&P 500 index pp. 483-488

Philip Hans Franses and Richard Paap

Evidence of market inefficiency in a war environment pp. 489-492

David Chappell and Robert Eldridge

Does shareholder myopia lead to managerial myopia? A first look pp. 493-505

Cherian Samuel

CAR 2: the impact of CAR on bank capital augmentation in Spain pp. 507-518

Yener Altunbas, Santiago Carbo Valverde and Edward Gardener

Long-term memory in stock market volatility pp. 519-524

Mike So

A variance ratio test of the random walk hypothesis for Taiwan's stock market pp. 525-532

Kuo-Ping Chang and Kuo-Shiuan Ting

Dividend initiation announcements effects in initial public offerings pp. 533-542

K. McCaffrey and P. Hamill

A market-augmented model for SIMEX Brent crude oil futures contracts pp. 543-552

John Sequeira and Michael McAleer

Heteroscedasticity in stock returns data revisited: volume versus GARCH effects pp. 553-560

M. F. Omran and E. McKenzie

Security price anomalies in an emerging market: the case of the Athens Stock Exchange pp. 561-571

Andrew Coutts, Christos Kaplanidis and Jennifer Roberts

Tests of regimes - switching CAPM pp. 573-578

Ho-Chuan Huang

Volume 10, issue 4, 2000

Are forward premia mean reverting? pp. 343-350

Walid Hejazi and Zhixin Li

Exchange risk premia in the European monetary system pp. 351-360

Frederick Nieuwland, Willem Verschoor and Christian Wolff

Black and official exchange rates in the Pacific Basin: some tests of dynamic behaviour pp. 361-369

Michael Moore and Kate Phylaktis

Forward foreign exchange rates and expected future spot rates pp. 371-377

Christian Wolff

Stock returns and real activity: is there still a connection? pp. 379-387

Mathias Binswanger

Expected returns and business conditions: a commentary on Fama and French pp. 389-400

Angela Black

Asymmetries in the conditional mean and conditional variance in the exchange rate: evidence from within and across economic blocks pp. 401-412

Maria Aguirre and Reza Saidi

Fiscal policy and the term premium in real interest rate differentials pp. 413-417

Thomas Flavin and M. G. Limosani

Testing for price bubbles: the case of transition economy pp. 419-422

Maria Garvalova

More on the credit channel of monetary policy transmission: an international comparison pp. 423-434

Félix López-Iturriaga

Forecasting UK stock market volatility pp. 435-448

David McMillan, Alan Speight and Owain Apgwilym

The P* model and its performance for the Spanish economy pp. 449-459

Vicente Pallardo and Vicente Esteve

Volume 10, issue 3, 2000

Price discovery in strategically-linked markets: the case of the gold-silver spread pp. 227-234

Bahram Adrangi, Arjun Chatrath and Rohan Christie David

Day of the week effect in emerging Asian stock markets: evidence from the GARCH model pp. 235-242

Taufiq Choudhry

Time varying term premia and risk: the case of the Spanish interbank money market pp. 243-260

M. Dolores Robles Fernandez and Rafael Florez De Frutos

Stock market integration and macroeconomic fundamentals: an empirical analysis, 1980-95 pp. 261-276

David Dickinson

Testing the risk premium and cost-of-carry hypotheses for currency futures contracts pp. 277-289

John Sequeira and Michael McAleer

The relative impacts of Japanese and US interest rates on local interest rates in Australia and Singapore: a Granger causality test pp. 291-298

Jordan Shan and Nick Pappas

Stock return volatility in thinly traded markets. An empirical analysis of trading and non-trading processes for individual stocks in the Norwegian thinly traded equity market pp. 299-310

P. B. Solibakke

Stochastic unit roots modelling of stock price indices pp. 311-315

Robert Sollis, Paul Newbold and Stephen Leybourne

Exchange controls and the transmission of equity market volatility: the case of the UK pp. 317-322

Patricia Chelley-Steeley

Effects of index option introduction on stock index volatility: a procedure for empirical testing based on SSC-GARCH models pp. 323-341

Leonardo Becchetti and Andrea Caggese

Volume 10, issue 2, 2000

Modelling the effects of regulatory discretion: Carsberg vs Spottiswoode pp. 117-121

T. A. Robinson

Parallel exchange market as a transition mechanism for foreign exchange reform: China's experiment pp. 123-135

Maozu Lu and Zhichao Zhang

Seasonality in the Athens stock exchange pp. 137-142

T. C. Mills, Costas Siriopoulos, Raphael Markellos and D. Harizanis

The relationship between short-term and forward interest rates: a structural time-series analysis pp. 143-153

Sridhar Iyer

Interest rate spreads implicit in options: Spain and Italy against Germany pp. 155-161

Bernardino Adao and Jorge Luis

Hedging downside risk with futures contracts pp. 163-170

Donald Lien and Yiu Kuen Tse

A regression tree analysis of real interest rate regime changes pp. 171-176

Paul Johnson and Marcio Garcia

Long memory in the Greek stock market pp. 177-184

John Barkoulas, Christopher Baum and Nickolaos Travlos

The financial performance of companies acquiring very large takeover targets pp. 185-191

R. A. Chatterjee

Wealth effects of financial internationalization: a case of the Yen-Dollar Agreement between the United States and Japan pp. 193-198

Nobuyoshi Yamori and Taiji Baba

Wealth and liquidity effects of stock delistings: empirical evidence from the stock exchanges of Singapore and Malaysia pp. 199-206

Ahamed Kameel Meera, Niranjan Tripathy and Michael Redfearn

Testing volatility on the Trinidad and Tobago Stock Exchange pp. 207-220

Hyginus Leon, Shelton Nicholls and Kelvin Sergeant

Do financial markets and the Maastricht Treaty discipline governments? New evidence pp. 221-226

Jakob de Haan and Jan-Egbert Sturm

Volume 10, issue 1, 2000

Some international evidence on stock prices as leading indicators of economic activity pp. 1-14

Anthony Aylward and Jack Glen

The impact of monetary policy and banks' balance sheets: some international evidence pp. 15-26

Philippe Bacchetta and Fernando Ballabriga

The impact of corporate growth opportunities on the market response to new equity announcements pp. 27-36

Bruce Burton, A. A. Lonie and D. M. Power

Does the behaviour of the asset tell us anything about the option price formula? A cautionary tale pp. 37-39

L. C. G. Rogers and S. E. Satchell

Interdependence between the US and major European equity markets: evidence from spectral analysis pp. 41-47

Ioannis Asimakopoulos, John Goddard and Costas Siriopoulos

Australian industry beta risk, the choice of market index and business cycles pp. 49-58

Vanitha Ragunathan, Robert Faff and Robert Brooks

What will be the risk-free rate and benchmark yield curve following European monetary union? pp. 59-69

Chris Brooks and Frank Skinner

Meltdown of 1987 and meteor showers among Pacific-Basin stock markets pp. 71-80

Taufiq Choudhry

Monte Carlo tests of cointegration in a bivariate normal common factor system pp. 81-93

Ralf Ostermark

Do foreign exchange risk premiums relate to the volatility in the foreign exchange and equity markets? pp. 95-104

Christine Jiang and Thomas Chiang

Short positions, size effect, and the liquidity hypothesis: implications for stock performance pp. 105-116

Said Elfakhani