In this paper we review the factors that may lead to structural changes in stock market volatility and present an analysis that assesses whether emerging stock market volatility has changed significantly over the period 1976:01-2002:03. This period corresponds to the years of more profound development of both the financial and the productive sides in emerging countries. We use alternative metho...

This paper analyzes the relationship between currency price changes and their expectations. Currency price change expectations are derived with the help of different order flow measures, from the trading behavior of investors on OANDA FXTrade, which is an internet trading platform in the foreign exchange market. We investigate whether forecasts of intra-day price changes on different sampling f...

The paper deals with Alternative Risk Transfer (ART) through securitization of longevity and mortality risks in pension plans and commercial life insurance. Various types of such mortality-linked securities are described including methods of their pricing and real examples (e.g. CATM bonds, longevity bonds, mortality forwards and futures, mortality swaps, and others). Hypothetical calculations ...

The intention of this paper is to examine the impact of the inflation rate on the performance of the Egyptian stock market. Particular attention is paid to the effects of the rate of inflation on various stock market performance variables, in terms of market activity and market liquidity. From the co-integration analysis through error correction mechanisms Ž . ECM , significant long-run and sho...

The multitude of explanations for the January effect leaves the reader confused about its primary cause(s): is it tax-loss selling, window dressing, information, bid-ask bounce, or a combination of these causes? The confusion arises, in part, because evidence has generally been presented in support of a particular hypothesis though the same evidence may be consistent with another hypothesis. Fu...

This paper tests a model based on Wall's (Wall, L., 1989. Journal of Banking and Finance 13, 261±270) hypothesis of agency cost reduction using interest rate swaps. We ®nd a signi®cant positive relationship between the risk of the ®rm and the reduction of agency costs measured by the continuously compounded excess return (CAR) of the ®rm. Our ®ndings are consistent with WallÕs hypothesis and ot...

This paper attempts to examine the securitization, negotiability and profitability aspects of three types of muèŒrabah instruments; namely, asset-enfaced muèŒrabah instruments, currency-enfaced muèŒrabah instruments representing monetary contributions and currency-enfaced muèŒrabah instruments representing real assets. This paper begins with a distinction between ribŒ (usury) and profit and con...

Abstract Marketing capability refers to a firm’s ability optimally deploy and integrate different marketing inputs achieve high sales at low cost. This paper examines whether the value of is incorporated into stock returns. High-level predicts better future operating performance A capability-based long-short portfolio strategy earns an average annual return 5.16%, substantial portion which earn...

This analysis investigates the influence of timing Lunar New Year on January effect for Vietnam stock market. The data selected this study is a weekly series market index (VN-Index) over period from 7 th, 2009 through December 26 2018. To test presence and impact anomaly, OLS GARCH(1,1) regression models are employed. empirical findings obtained these confirm existence during in However, reveal...

Heavy share buyback years after the global finance crisis 2008–2009 drew criticism from scholars and financial press that repurchases were being used by firms to manipulate their stock prices. This paper examines whether a greater firm’s repurchase intensity distorts prices reflecting information. We analyse 2 sets of unbalanced panel data contain sample 337 US another 167 Malaysian repurchasin...