Applied Financial Economics

1997 - 2014

Current editor(s): Anita Phillips

From Taylor & Francis Journals
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Volume 18, issue 21, 2008

A new perspective on financial anomalies in emerging markets: the case of China pp. 1681-1695

Zhichao Zhang, Wai Sun and Hua Wang

Effect of intervalling and skewness on portfolio selection in developed and developing markets pp. 1697-1707

Chun-Hao Chang, Brice Dupoyet and Arun Prakash

Causality-in-variance and causality-in-mean among European government bond markets pp. 1709-1720

Guangzhong Li, James Refalo and Lifan Wu

Family ownership and the cost of under-diversification pp. 1721-1737

Richard Heaney and Martin Holmen

Deflator selection and generalized linear modelling in market-based regression analyses pp. 1739-1753

Changbao Wu and Bixia Xu

Aggregate hedge funds' flows and returns pp. 1755-1764

Andrea Beltratti and Claudio Morana

Volume 18, issue 20, 2008

Long-horizon yield curve projections: comparison of semi-parametric and parametric approaches pp. 1597-1611

Ken Nyholm and Riccardo Rebonato

European mezzanine pp. 1613-1622

Martijn de Ruijter Korver and Steven Ongena

Relationship between downside risk and return: new evidence through a multiscaling approach pp. 1623-1633

Don Galagedera, Elizabeth Maharaj and Robert Brooks

Optimum allocation of weights to assets in a portfolio: the case of nominal annualization versus effective annualization of returns pp. 1635-1646

Chun-Hao Chang, Brice DuPoyet and Arun Prakash

The concentration of creditors: evidence from small businesses pp. 1647-1656

Liang Han, David Storey and Stuart Fraser

The impact of lifting the short-sale price restriction on volatility and liquidity in Taiwan pp. 1657-1665

Ching-Chung Lin

The risk premiums of the four-factor asset pricing model in the Hong Kong stock market pp. 1667-1680

Keith Lam and Frank Li

Volume 18, issue 19, 2008

The performance of moving average rules in emerging stock markets pp. 1515-1532

S. G. M. Fifield, D. M. Power and D. G. S. Knipe

Are there threshold effects in the stock price-dividend relation? The case of the US stock market, 1871-2004 pp. 1533-1537

Vicente Esteve and Maria Prats

An examination of IPO underpricing in the growth enterprise market of Hong Kong pp. 1539-1547

Anna Vong and N. Zhao

Evidence on growth and financial development using principal components pp. 1549-1560

Karima Saci and Ken Holden

Pricing futures options with basis risk: evidence from S&P 500 futures options pp. 1561-1567

Chou-Wen Wang and Ting-Yi Wu

Athens' Olympic Games 2004 impact on sponsors' stock returns pp. 1569-1580

Aristeidis Samitas, Dimitris Kenourgios and Peter Zounis

Deregulation, ownership and profit performance of banks: evidence from India pp. 1581-1595

Rudra Sensarma

Volume 18, issue 18, 2008

Institutional flows and equity style diversification pp. 1441-1450

John Gallo, Chanwit Phengpis and Peggy Swanson

Diversification prospects in Middle East and North Africa (MENA) equity markets: a synthesis and an update pp. 1451-1463

Olasupo Olusi and Haikal Abdul-Majid

The value of stability ratings to the Canadian income trust market pp. 1465-1474

H. Semih Yildirim, Prem Mathew and Priscilla Neeliah-Chinniah

Intraday stock returns and performance of a simple market model pp. 1475-1480

Elvan Aktas

Post-Bretton Woods evidence on PPP under different exchange rate regimes pp. 1481-1488

Rakesh Bissoondeeal

Dynamic causality between intraday return and order imbalance in NASDAQ speculative top gainers pp. 1489-1499

YongChern Su and HanChing Huang

Modelling cross-sectional profitability and capital intensity using panel corrected significance tests pp. 1501-1513

Jason Hecht

Volume 18, issue 17, 2008

The quiet period is making noise again pp. 1363-1378

Michael Highfield, Patrick Lach and Larry White

Empirical evidence on feedback trading in mature and emerging stock markets pp. 1379-1389

Martin Bohl and Pierre Siklos

Macro shocks and the Japanese stock market pp. 1391-1400

Ying Huang and Feng Guo

Long-run and short-run relationship between the main stock indexes: evidence from the Athens stock exchange pp. 1401-1410

Theophano Patra and Sunil Poshakwale

Merger momentum and market valuations: the UK evidence pp. 1411-1423

Antonios Antoniou, Jie Guo and Dimitris Petmezas

Fundamental uncertainty and stock market volatility pp. 1425-1440

Ivo Arnold and Evert Vrugt

Volume 18, issue 16, 2008

The MSCI-Canada index rebalancing and excess comovement pp. 1277-1287

Jerry Coakley, Periklis Kougoulis and J. C. Nankervis

Empirical distributions of stock returns: Paris stock market, 1980-2003 pp. 1289-1302

Stella Kanellopoulou and Epaminondas Panas

The impact of rational and irrational sentiments of individual and institutional investors on DJIA and S&P500 index returns pp. 1303-1317

Rahul Verma, Hasan Baklaci and Gokce Soydemir

Do Spanish mutual fund managers use public and private information correctly? Use of information in mutual fund management pp. 1319-1331

Luis Ferruz, Javier Nievas and Maria Vargas

The relationship between stock return volatility and trading volume: the case of the Philippines pp. 1333-1341

Manabu Asai and Angelo Unite

The co-movement of stock prices, herd behaviour and high-tech mania pp. 1343-1350

Wen-Chung Guo and Hsiu-Ting Shih

Closing inefficient affiliates: evidence from Korean conglomerates pp. 1351-1361

Heechul Min and Wook Sohn

Volume 18, issue 15, 2008

International transmissions in US-Japanese stock markets pp. 1193-1200

Youta Ishii

Estimating stock market volatility using asymmetric GARCH models pp. 1201-1208

Dima Alberg, Haim Shalit and Rami Yosef

The impact of unsecured debt on financial pressure among British households pp. 1209-1220

Ana Del Rio and Garry Young

Nonlinear adjustment of investors' holding periods for common stocks in the presence of unobserved transactions costs: evidence from the UK equity market pp. 1221-1231

V. Boinet, Andros Gregoriou and C. Ioannidis

Degree of market imperfections: evidence from four Asian index futures markets pp. 1233-1246

Janchung Wang

Simulating convertible bond arbitrage portfolios pp. 1247-1262

Mark Hutchinson and Liam Gallagher

Revisiting East Asian exchange rates: the same spirit under a different sky pp. 1263-1276

Cem Payaslıoğlu

Volume 18, issue 14, 2008

Hot IPOs can damage your long-run wealth! pp. 1111-1120

Jerry Coakley, Leon Hadass and Andrew Wood

Bank efficiency and share performance: evidence from Greece pp. 1121-1130

Fotios Pasiouras, Aggeliki Liadaki and Constantin Zopounidis

Client profiles and access to retail bank services in South Africa pp. 1131-1146

Charles Okeahalam

The pricing and impact of rights issues of equity in Australia pp. 1147-1160

Sian Owen and Jo-Ann Suchard

The impact of listing stock options on the underlying securities: the case of Taiwan pp. 1161-1172

Dar-Hsin Chen and Po-Hsun Chang

Estimating banks' equity duration: a panel cointegration approach pp. 1173-1180

Abdulnasser Hatemi-J and Eduardo Roca

Exchange rate uncertainty and corporate values: evidence from Taiwan pp. 1181-1192

Chien-Chung Nieh, Jeng-Bau Lin and Yu-shan Wang

Volume 18, issue 13, 2008

Financial development and economic growth: a symbiotic relationship pp. 1033-1049

Jagdish Handa and Shubha Rahman Khan

The market response to information quality shocks: the case of Enron pp. 1051-1066

Peter Dunne, Haim Falk, John Forker and Ronan Powell

Mergers and acquisitions waves in the UK: a Markov-switching approach pp. 1067-1074

Marcelo Resende

Nonlinear short-run adjustments in US stock market returns pp. 1075-1083

Tsangyao Chang, Ming Jing Yang, Chien-Chung Nieh and Chi-Chen Chiu

Conditional confidence intervals for the equity premium and other rates pp. 1085-1089

Samih Antoine Azar

Is Baumol's 'square root law' still relevant? evidence from micro-level data pp. 1091-1098

David Bounie and Abel François

What factors drive IPO aftermarket risk? pp. 1099-1110

K. Gleason, James Johnston and J. Madura

Volume 18, issue 12, 2008

Weather biases in the NFL totals market pp. 947-953

Richard Borghesi

Determinants of the initial IPO performance: evidence from Hong Kong and Taiwan pp. 955-963

Chien-Ting Lin and Shou-Ming Hsu

Macroeconomic instability in the European monetary system? pp. 965-983

A. Morales-Zumaquero and Simon Sosvilla-Rivero

Nonneutral short-run effects of derivatives on gold prices pp. 985-994

Adrienne Kearney and Raymond Lombra

Impact of ETF inception on the valuation and trading of component stocks pp. 995-1007

Jeff Madura and Thanh Ngo

The application of the self-organizing map, the k-means algorithm and the multi-layer perceptron to the detection of technical trading patterns pp. 1009-1019

J. P. Marney, Heather Tarbert, Jos Koetsier and Marco Guidi

International diversification, capital structure and cost of capital: evidence from ICT firms listed at NASDAQ pp. 1021-1032

Dany Aoun and Almas Heshmati

Volume 18, issue 11, 2008

Reassessing co-movements among G7 equity markets: evidence from iShares pp. 863-877

M. Barari, Brian Lucey and S. Voronkova

What drives the performance of cooperative financial institutions? Evidence for US credit unions pp. 879-893

John Goddard, Donal McKillop and John Wilson

Time-varying conditional dependence in Chinese stock markets pp. 895-916

Thierry Ane, Loredana Ureche-Rangau and Chiraz Labidi

Components of the profitability of technical currency trading pp. 917-930

Stephan Schulmeister

Financial liberalization and bank efficiency: evidence from post-war Lebanon pp. 931-946

Rima Turk Ariss

Volume 18, issue 10, 2008

Skewness and asymmetry in futures returns and volumes pp. 777-800

Alexander Eastman and Brian Lucey

Public-to-private buy-outs, distress costs and private equity pp. 801-819

Charlie Weir, Mike Wright and Louise Scholes

Capital structure and growth of the firms in the backward regions of the south Italy pp. 821-833

Domenico Sarno

The cost of downside protection and the time diversification issue in South Asian stock markets pp. 835-843

Lakshman Alles

Testing for structural breaks in GARCH models pp. 845-862

Daniel Smith

Volume 18, issue 9, 2008

Secondary market pricing behaviour around UK bond auctions pp. 691-699

Farooq Ahmad and James Steeley

Efficiency change, technological progress and productivity growth of private, public and foreign banks in India: evidence from the post-liberalization era pp. 701-713

Rasoul Rezvanian, Narendar Rao and Seyed Mehdian

Does leverage influence auditor choice? A cross-country analysis pp. 715-731

Géraldine Broye and Laurent Weill

Is being a super-power more important than being your close neighbour? A study of what moves the Australian stock market pp. 733-747

Heng Chen, Russell Smyth and Wing-Keung Wong

Efficiency of Bangladesh stock market: evidence from monthly index and individual firm data pp. 749-758

M. Kabir Hassan and Shah Saeed Chowdhury

Classification of GARCH time series: an empirical investigation pp. 759-764

T. Kalantzis and D. Papanastassiou

Pricing generalized capped exchange options pp. 765-776

Chou-Wen Wang, Szu-Lang Liao and Ting-Yi Wu

Volume 18, issue 8, 2008

Untangling demand curves from information effects: evidence from Australian index adjustments pp. 605-616

David Sokulsky, Robert Brooks and Sinclair Davidson

Stock market reaction to capital expenditure announcements by UK firms pp. 617-627

Saeed Akbar, Syed Zulfiqar Ali Shah and Issedeeq Saadi

The association between audit committee and board of director effectiveness and changes in the nonaudit fee ratio pp. 629-638

Ho-Young Lee

What happened to pacific-basin emerging markets after the 1997 financial crisis? pp. 639-658

Joo Ha Nam, Ky-hyang Yuhn and Sang Bong Kim

Business conditions and nonrandom walk behaviour of US stocks and bonds returns pp. 659-672

B. Jirasakuldech, Riza Emekter and Unro Lee

The behaviour of a small foreign exchange market with a long-term peg-Barbados pp. 673-682

DeLisle Worrell, Roland Craigwell and Travis Mitchell

European mutual funds and portfolio's country exposure: does active management add value? pp. 683-689

Javier Rodriguez

Volume 18, issue 7, 2008

Changing-regime volatility: a fractionally integrated SETAR model pp. 519-526

Gilles Dufrénot, Dominique Guegan and Anne Peguin-Feissolle

A new test for simultaneous estimation of unit roots and GARCH risk in the presence of stationary conditional heteroscedasticity disturbances pp. 527-558

Par Sjolander

The financial structure of nonlisted firms pp. 559-568

Suzan Hol and Nico Van der Wijst

Volatility amongst firms in the Dow Jones Eurostoxx50 Index pp. 569-582

Xuan Vinh Vo and Kevin Daly

An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach pp. 583-597

Eduardo Roca and Victor Wong

Do common volatility models capture cyclical behaviour in volatility? pp. 599-604

Adam Clements and Jerome Collet

Volume 18, issue 6, 2007

Asia-Pacific banks risk exposures: pre and post the Asian financial crisis pp. 431-449

Hue Hwa Au Yong and Robert Faff

The New Zealand market's relationship with Australia and Pacific-Basin share markets: is New Zealand converging with Australia? pp. 451-462

Patricia Fraser, Lynn McAlevey and Matthew Tayler

Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models pp. 463-483

Isıl Akgul and Hulya Sayyan

The performance evaluation for fund of funds by comparing asset allocation of mean-variance model or genetic algorithms to that of fund managers pp. 485-501

Syouching Lai and Hungchih Li

An eclectic approach to currency crises: drawing lessons from the EMS experience pp. 503-519

Francisco Perez-Bermejo, Simon Sosvilla-Rivero and Reyes Maroto-Illera

Volume 18, issue 5, 2008

Economies of scale and scope in China's banking sector pp. 345-356

Xiaoqing Fu and Shelagh Heffernan

Forecasting economic time series with the DyFor genetic program model pp. 357-378

Neal Wagner, Moutaz Khouja, Zbigniew Michalewicz and Rob Roy McGregor

Skewness preference, value and size effects pp. 379-386

Suchismita Mishra, Richard DeFusco and Arun Prakash

Does currency crisis identification matter? pp. 387-395

S. DeVicerte, P. Alvarez, J. Perez and C. Caso

Testing unitary and bargaining models of Chinese household food consumption pp. 397-410

Jason Dietrich

The mean/volatility asymmetry in Asian stock markets pp. 411-419

Yung-Shi Liau and Jack Yang

Foreign investment, regulation, volatility spillovers between the futures and spot markets: evidence from Taiwan pp. 421-430

Wen-Hsiu Kuo, Hsinan Hsu and Min-Hsien Chiang

Volume 18, issue 4, 2008

The finance-specialization-growth nexus: evidence from OECD countries pp. 255-265

Franz Hahn

Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion pp. 267-273

Sivagowry Sriananthakumar and Param Silvapulle

Beyond greed, fear and the iron curtain pp. 275-293

Robert Durand and Marta Simon

Japanese stock movements from 1991 to 2005: evidence from high- and low-frequency data pp. 295-307

Jun Nagayasu

Financial analysts' stock recommendation revisions and stock price changes pp. 309-325

Yung-Ho Chang and Chia-Chung Chan

An empirical study of interest rate determination rules pp. 327-343

Keshab Bhattarai

Volume 18, issue 3, 2007

The short-run wealth effects of foreign divestitures by UK firms pp. 173-184

Jerry Coakley, Hardy Thomas and Han-Min Wang

Value performance of European bank acquisitions pp. 185-198

Robert Lensink and Iryna Maslennikova

Financial crisis and sectoral diversification of Argentine banks, 1999-2004 pp. 199-211

Ricardo Bebczuk and Arturo Galindo

Evaluating density forecasts of the model with a conditional skewed-t distribution for China's stock markets pp. 213-227

Xiao-Ming Li and Qing Xu

Benefiting from diversity in Middle Eastern stock markets pp. 229-237

Naser Abumustafa

Extreme returns and the contagion effect between the foreign exchange and the stock market: evidence from Cyprus pp. 239-254

Stelios Bekiros and Dimitris Georgoutsos

Volume 18, issue 2, 2007

Do country or firm factors explain capital structure? Evidence from SMEs in France and Greece pp. 87-97

Nikolaos Daskalakis and Maria Psillaki

Market integration and extreme co-movements in APEC emerging equity markets pp. 99-113

Xiao-Ming Li and Lawrence Rose

Sudden shifts in variance in the Spanish market: persistence and spillover effects pp. 115-124

Jose Luis Miralles Marcelo, José Miralles Quirós and Maria del Mar Miralles Quiros

Does idiosyncratic risk matter? Evidence from European stock markets pp. 125-137

Timotheos Angelidis and Nikolaos Tessaromatis

Why does the correlation between stock and bond returns vary over time? pp. 139-151

Magnus Andersson, Elizaveta Krylova and Sami Vähämaa

The relationship between charter value and bank market concentration: the influence of regulations and institutions pp. 153-172

Francisco Gonzalez-Rodriguez

Volume 18, issue 1, 2007

Measuring bank profit efficiency pp. 1-8

Trevor Fitzpatrick and Kieran McQuinn

Underpricing in Chinese IPOs-some recent evidence pp. 9-22

Haini Deng and Gregor Dorfleitner

Declared investment plans and IPO firm value pp. 23-39

Paula Hill

Risk premium: insights over the threshold pp. 41-59

Jose Fernandes, Augusto Hasman and Juan Ignacio Pena

Regulation and systematic risk: the case of the water industry in England and Wales pp. 61-73

Gioia Pescetto

Re-examining purchasing power parity for East-Asian currencies: 1976-2002 pp. 75-85

Ahmad Zubaidi Baharumshah, Tze-Haw Chan and Stilianos Fountas