Applied Financial Economics

1997 - 2014

Current editor(s): Anita Phillips

From Taylor & Francis Journals
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Volume 7, issue 6, 1997

Augmented ARCH models for financial time series: stability conditions and empirical evidence pp. 575-586

Robert Kunst

The monetary exchange rate model within the ERM: cointegration tests and implications concerning the German dominance hypothesis pp. 587-598

Angelos Kanas

Stylized facts on the temporal and distributional properties of daily FT-SE returns pp. 599-604

Terence Mills

Estimation of the bid/ask spread on Danish stocks, an evaluation of Roll's estimator pp. 605-610

Ken Nyholm

Does speculation play any role in determining the forward exchange rate? pp. 611-617

Imad Moosa and Razzaque Bhatti

Nonlinear dynamics and daily stock returns on the Taiwan Stock Exchange pp. 619-634

Yih-Luan Chyi

A re-examination of the fragility of evidence from cointegration-based tests of foreign exchange market efficiency pp. 635-643

John Barkoulas and Christopher Baum

Share market efficiency: tests using daily data for Australia and New Zealand pp. 645-657

Nicolaas Groenewold

Common stochastic trends in international stock prices and dividends: an example of testing overidentifying restrictions on multiple cointegration vectors pp. 659-665

Tom Engsted and Jesper Lund

Long memory in the Canadian stock market pp. 667-672

Steve Beveridege and Cyril Oickle

The demand for international liquidity: a cointegration approach pp. 673-678

Costas Karfakis

Stock return predictability or mismeasured risk? pp. 679-687

A. D. Clare, Richard Priestley and S. H. Thomas

The impact of settlement time on the volatility of stock markets pp. 689-694

Dong Li, Shao-King Lin and Chulin Li

An exploratory empirical analysis of the impact of the Federal Deposit Insurance Corporation Improvement Act of 1991 on bank failures in the United States pp. 695-701

Richard Cebula

Reaction of bank stock prices to the multiple events of the Brazilian debt crisis pp. 703-710

Ike Mathur and Sridhar Sundaram

Testing for foreign exchange market efficiency - a trivariate vector autoregressive approach pp. 711-719

Chyng-Hua Shen

The information on inflation in the Australian term structure pp. 721-730

Lakshman Alles and Ramaprasad Bhar

Volume 7, issue 5, 1997

Price variability, trading volume and market depth: evidence from the Australian futures market pp. 447-454

Vanitha Ragunathan and Albert Peker

Security price anomalies in the London International Stock Exchange: a 60 year perspective pp. 455-464

Zainudin Arsad and J. Andrew Coutts

Domestic and external factors in interest rate determination pp. 465-471

Guglielmo Maria Caporale and Nikitas Pittis

The effect of volatility estimates in the valuation of underwritten rights issues pp. 473-480

Howard Chan

Ex—dividend day stock price falls on the Spanish stock market pp. 481-492

Manuel Espitia and Francisco-Javier Ruiz

Stock market returns in thin markets: evidence from the Vienna Stock Exchange pp. 493-498

Peter Huber

Deterministic versus stochastic volatility: implications for option pricing models pp. 499-505

Paul Brockman and Mustafa Chowdhury

The monetary model of the exchange rate and the Greek drachma in the 1920s pp. 507-515

Dimitris Georgoutsos and Georgios Kouretas

Testing for seasonal patterns in conditional return volatility: evidence from Asia-Pacific markets pp. 517-523

Andrew Clare, Ian Garrett and Greg Jones

An empirical investigation of asset-liability management of small US commercial banks pp. 525-536

Van Son Lai and M. Kabir Hassan

Long-term over-reaction in the UK stock market and size adjustments pp. 537-548

Kevin Campbell and Robin Limmack

Estimating skewness persistence in market returns pp. 549-558

Jati Sengupta and Yijuan Zheng

The impact of inflation rate announcements on interest rate volatility: Australian evidence pp. 559-566

Param Silvapulle, Robert Pereira and John Lee

Long-term valuation effects of shareholder activism pp. 567-573

Aigbe Akhigbe, Jeff Madura and Alan Tucker

Volume 7, issue 4, 1997

Currency substitution and exchange rate determination pp. 327-336

Yijian He and Subhash Sharma

The Fisher effect and Australian interest rates pp. 337-346

Kim Hawtrey

The stability of ARCH models across Australian financial futures markets pp. 347-359

Robert Brooks and John Lee

Technical analysis, trading volume and market efficiency: evidence from an emerging market pp. 361-365

A. Antoniou, N. Ergul, P. Holmes and Richard Priestley

A time-varying analysis of abnormal performance of UK property companies pp. 367-377

George Matysiak and Gerald Brown

Option pricing under stochastic volatility and stochastic interest rate in the Spanish case pp. 379-394

Marc Saez

Dynamics of inflation in Sub-Saharan Africa: the role of foreign inflation, official and parallel market exchange rates, and monetary growth pp. 395-402

M. O. Odedokun

International linkages in bank lending and borrowing markets: evidence from six industrialized countries pp. 403-411

Arjun Chatrath, Sanjay Ramachander and Frank Song

On the unbiasedness of the forward rate in the Singapore foreign exchange market pp. 413-417

Wee-Beng Gan and Lee-Ying Soon

Macroeconomic volatility and stock market volatility: empirical evidence on Finnish data pp. 419-426

Eva Liljeblom and Marianne Stenius

Capital structure choice and financial market liberalization: evidence from New Zealand pp. 427-437

Glenn Boyle and Kelly Eckhold

Stock prices, inflation and output: evidence from India pp. 439-445

Arjun Chatrath, Sanjay Ramchander and Frank Song

Volume 7, issue 3, 1997

A multivariate cointegration approach to the determination of reserves and money balances in India pp. 213-221

Ashok Parikh and David Lovatt

Productivity growth in the Hellenic banking industry: state versus private banks pp. 223-228

Athanasios Noulas

An empirical test of the risk-return relationship on the Taiwan Stock Exchange pp. 229-239

Yen-Sheng Huang

Stock return volatility and information: an empirical analysis of Pacific Rim, UK and US equity markets pp. 241-253

Patricia Fraser and David Power

Exchange rate and interest rate volatility in the European Monetary System: some further results pp. 255-263

Lucio Sarno

Inflation and real stock prices pp. 265-266

Tony Caporale and Chulho Jung

The dividend reinvestment plan puzzle pp. 267-271

Harold Bierman

A note on the stability of relationships between returns from emerging stock markets pp. 273-280

C. D. Sinclair, D. M. Power, A. A. Lonie and P. A. Avgoustinos

Spreads, information flows and transparency across trading systems pp. 281-294

Paul Kofman and James Moser

Cross-border mergers and acquisitions: maximizing the value of the firm pp. 295-305

Pedro Gonzalez, Geraldo Vasconcellos, Richard Kish and Jonathan Kramer

Risk components and the market model: a pedagogical note pp. 307-310

Øyvind Bøhren

Multivariate testing of the capital asset pricing model in the Hong Kong stock market pp. 311-316

Yue-Cheong Chan

Further analysis of official and black market exchange rates in Brazil: data transformations and structural changes pp. 317-325

Gawon Yoon

Volume 7, issue 2, 1997

Stock returns and inflation: a macro analysis pp. 127-136

Nicolaas Groenewold, Gregory O'Rourke and Stephen Thomas

On stocks, bonds and business conditions pp. 137-146

Anders Loflund and Kim Nummelin

ARCH modelling of Australian bilateral exchange rate data pp. 147-164

Michael McKenzie

Listing and the liquidity of bank stocks: revisited pp. 165-172

Donald Fraser, John Groth and Steven Byers

On the validity of the weak-form efficient markets hypothesis applied to the London stock exchange pp. 173-176

Nabeel Al-Loughani and David Chappell

Regime switching in stock market returns pp. 177-191

Huntley Schaller and Simon van Norden

A test of relative efficiency between two sets of securities pp. 192-195

Pin-Huang Chou

Financial constraints on the growth of high technology small firms in the United Kingdom pp. 197-201

Paul Westhead and David Storey

Asymmetries and non-linearities in economic activity pp. 203-206

Fabio Fornari and Antonio Mele

Calling for the true margin pp. 207-212

Jussi Keppo

Volume 7, issue 1, 1997

The determinants of actuarial costs in the New Zealand life insurance industry pp. 1-7

Mike Adams

A further examination of the effect of diversification on the stability of portfolio betas pp. 9-14

R. D. Brooks, Robert Faff, M. A. M. Gangemi and J. H. H. Lee

Black and official exchange rate volatility and foreign exchange controls pp. 15-24

Kate Phylaktis and Yiannis Kassimatis

Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines pp. 25-35

Issam Abdalla and Victor Murinde

Measuring cost inefficiency in the UK life insurance industry pp. 37-44

Philip Hardwick

A switching regression approach to the stationarity of systematic and non-systematic risks: the Hong Kong experience pp. 45-57

Joseph Cheng

A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages pp. 59-74

Abul Masih and Rumi Masih

Equity retention and initial public offerings: the influence of signalling and entrenchment effects pp. 75-85

Kevin Keasey and Helen Short

Using a VECM to test exogeneity and forecastability in the PPP condition pp. 87-95

Stefan Norrbin, Kevin Reffett and Yaohua Ji

The valuation effects of the Mexican debt crisis: a re-examination pp. 97-106

Idhar Sundaram, Ike Mathur and Indudeep Chhachhi

Aggregate consumption behaviour with time-nonseparable preferences and liquidity constraints pp. 107-114

Tony Wirjanto

Does futures speculation stabilize spot prices? Evidence from metals markets pp. 115-125

Ahmet Enis Kocagil