Applied Financial Economics

1997 - 2014

Current editor(s): Anita Phillips

From Taylor & Francis Journals
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Volume 8, issue 6, 1998

Is the dollar/ECU exchange rate a random walk? pp. 553-558

Paul Newbold, Toni Rayner, Neil Kellard and Christine Ennew

A fractional cointegration test of purchasing power parity: the case of selected members of OPEC pp. 559-566

Abdol Soofi

The unbiased forward rate hypothesis: a re-examination pp. 567-575

Chulho Jung, K. Doroodian and Robert Albarano

Modelling real exchange rate behaviour: a cross-country study pp. 577-587

Ashok Parikh and Geoffrey Williams

On forecasting exchange rates using neural networks pp. 589-596

Philip Hans Franses and Paul van Homelen

The causes of stock market volatility in Australia pp. 597-605

Colm Kearney and Kevin Daly

Linkages between the US and European equity markets: further evidence from cointegration tests pp. 607-614

Angelos Kanas

Term structure and interest differentials as predictors of future inflation changes and inflation differentials pp. 615-625

Guglielmo Maria Caporale and Nikitas Pittis

The Australian yield curve as a leading indicator of consumption growth pp. 627-635

Chay Fisher and Bruce Felmingham

Lower partial moment hedge ratios pp. 645-652

Babak Eftekhari

Intermediation and value-added models for estimating cost economies in large Japanese banks 1977-93 pp. 653-661

J. Colin Glass, Donal McKillop and Yukio Morikawa

Testing the expectations model of the term structure in times of financial transition pp. 663-669

Christopher McDermott

A Bayesian analysis of stock return volatility and trading volume pp. 671-687

Ronald Mahieu and Rob Bauer

Efficiency of multinational banks: an empirical investigation pp. 689-696

C. Edward Chang, Iftekhar Hasan and William Hunter

Volume 8, issue 5, 1998

The contribution of emerging markets in international diversification strategies pp. 445-454

Theodor Kohers, Gerald Kohers and Vivek Pandey

A note on Credit Union reserve ratios and asset growth pp. 455-458

C. W. Jefferson and J. E. Spencer

Efficiency in Australian building societies: an econometric cost function approach pp. 459-467

Andrew Worthington

Identifying credit and liquidity effects using a rank condition pp. 469-475

R. D. Rossiter

Forecasting index volatility: sampling interval and non-trading effects pp. 477-485

David Walsh and Glenn Yu-Gen Tsou

Determinants of the leasing decision in United Kingdom listed companies pp. 487-494

Mike Adams and Philip Hardwick

Uncovered interest parity: New Zealand' s post-deregulation experience pp. 495-503

Alan King

A comparison of short-term interest rate models: empirical tests of interest rate volatility pp. 505-512

Mikiyo Kii Niizeki

Real stock prices and the long-run demand for money in Germany pp. 513-517

John Thornton

The effectiveness of tightening illegal insider trading regulation: the case of corporate takeovers pp. 519-531

Anthony Boardman, Z. Stuart Liu, Marshall Sarnat and Ilan Vertinsky

Foreign banks, profits and commercial credit extension in the United States pp. 533-539

Philip Molyneux and Rama Seth

Estimating structural exchange rate models by artificial neural networks pp. 541-551

Joseph Plasmans, William Verkooijen and Hennie Daniels

Volume 8, issue 4, 1998

Fractional cointegration tests with GARCH pp. 329-332

Yiuman Tse

The mean-variance model with capital controls and expectations formation. A test on German portfolio data pp. 333-346

W. Jos Jansen

Empirical tests of short-term interest rate models: a nonparametric approach pp. 347-352

Mikiyo Kii Niizeki

What causes intra-week regularities in stock returns? Some evidence from the UK pp. 353-357

David Bell and Eric Levin

The intertemporal stability of the covariance and correlation matrices of Hong Kong stock returns pp. 359-365

Gordon Tang

Speed of adjustment to the long-run equilibrium: an application with US Stock Price and Dividend data pp. 367-375

Burak Saltoğlu

Testing the conditional CAPM using multivariate GARCH-M pp. 377-388

Björn Hansson and Peter Hördahl

Share prices under Tory and Labour governments in the UK since 1945 pp. 389-400

Robert Hudson, Kevin Keasey and Mike Dempsey

Continuous-time short term interest rate models pp. 401-407

K. Ben Nowman

The economic efficiency of the Credit Department of Farmers' Associations in Taiwan pp. 409-418

Ching-Cheng Chang and Tsung-Chuan Hsieh

The long-run performance following Japanese rights issues pp. 419-434

Jun Cai

Short and long-run dependence in Swedish stock returns pp. 435-443

Lennart Berg and Johan Lyhagen

Volume 8, issue 3, 1998

A model and empirical test of the strong form efficiency of US capital markets: more evidence of insider trading profitability pp. 211-220

Ahmet Kara and Karen Craft Denning

The expected favourableness of dividend signals, the direction of dividend change and the signalling role of dividend announcements pp. 221-230

Said Elfakhani

Chaos in an emerging capital market? The case of the Athens Stock Exchange pp. 231-243

John Barkoulas and Nickolaos Travlos

Volatility spillovers across equity markets: European evidence pp. 245-256

Angelos Kanas

Common long-term and short-term price memory in two Scandinavian stock markets pp. 257-265

Seppo Pynnonen and Johan Knif

Extreme events from the return-volume process: a discretization approach for complexity reduction pp. 267-278

Peter Buhlmann

The determinants of non-bank financial institution efficiency: a stochastic cost frontier approach pp. 279-287

Andrew Worthington

Efficiency and technical change for Spanish banks pp. 289-300

Ana Lozano-Vivas

Credit spreads on government bonds pp. 301-313

Kamhon Kan

Portfolio analysis of South American stock markets pp. 315-327

Yochanan Shachmurove

Volume 8, issue 2, 1998

Testing the expectations theory in a market of short-term financial assets pp. 101-109

Maria Prats and Arielle Beyaert

A decomposition of the term structure model of Heath, Jarrow and Morton pp. 111-118

Chen Guo

The diminishing calendar anomalies in the stock exchange of Singapore pp. 119-125

Ruth Seow Kuan Tan and Wong Nee Tat

Tests for interest rate convergence and structural breaks in the EMS pp. 127-132

Stilianos Fountas and Jyh-Lin Wu

Monetary disturbance or financial market collapse: tests of two theories of the Great Depression pp. 133-144

Barbara McKiernan

Modelling the asymmetry of stock market volatility pp. 145-153

Ólan Henry

Consumer confidence announcements: do they matter? pp. 155-166

O Gulley and Jahangir Sultan

Stock market prices, 'causality' and efficiency: evidence from the Athens stock exchange pp. 167-174

Nikitas Niarchos and Christos Alexakis

Ownership structure and firm performance: evidence from the UK financial services industry pp. 175-180

Ram Mudambi and Carmela Nicosia

Testing the rationality of expectations in the Australian foreign exchange market using survey data with missing observations pp. 181-190

Guay Lim and Colin McKenzie

Market structure and performance in Spanish banking using a direct measure of efficiency pp. 191-200

Joaquin Maudos

Precious metals and inflation pp. 201-210

Nick Taylor

Volume 8, issue 1, 1998

International correlation structure of financial market movements - the evidence from the UK and the US pp. 1-12

Arnold Cheng

Beta, size and returns: a study on the French Stock Exchange pp. 13-20

Jean-Jacques Lilti and Helene Rainelli-Le Montagner

A multifactor model of gold industry stock returns: evidence from the Australian equity market pp. 21-28

Robert Faff and Howard Chan

IPO profit forecasts and their role in signalling firm value and explaining post-listing returns pp. 29-39

Michael Firth

Do markets learn from experience? Price reaction to stock dividends in the Turkish market pp. 41-49

Kursat Aydogan and Yaz Muradoglu

A numerical analysis of the monetary aspects of the Japanese economy: the cash-in-advance approach pp. 51-59

Shigeyuki Hamori and Shin-Ichi Kitasaka

The market efficiency hypothesis on stock prices: international evidence in the 1920s pp. 61-65

Junsoo Lee, Jen-Chi Cheng, Chyongchiou Lin and Cliff Huang

Multivariate Granger causality in international asset pricing: evidence from the Finnish and Japanese financial economies pp. 67-72

Ralf Ostermark

The relationship between US and Canadian wheat futures pp. 73-80

G. Geoffrey Booth, Paul Brockman and Yiuman Tse

New evidence on the expectations theory of the term structure of Australian Commonwealth Government Treasury yields pp. 81-87

Ross Guest and Alan McLean

Managerial objectives in Japanese banking: a test of the expense preference hypothesis pp. 89-99

Hiroshi Izawa and Yoshiro Tsutsui