â â â  â â â â â  the main purpose of present study is to analyze the relationship between stock and exchange markets in two asian countries, iran and south korea. a monthly time series of stock price and exchange rate are used over the period 2002: 05 - 2012: 03. the data is collected from the central bank of each country and wdi. the calculated stock return and real exchange rate change are u...

a r t i c l e i n f o JEL classification: O43 O16 E44 E31 Keywords: Banking sector Stock market Economic growth Granger causality ASEAN countries This paper examines the relationship between banking sector development, stock market development, economic growth, and four other macroeconomic variables in ASEAN countries for the period 1961–2012. Using principal component analysis for the construc...

The aim of this paper is to investigate the effect of soccer performance on the clubs’ stock returns through an empirical analysis applied on Turkish case. The study is based on the data of Beşiktaş, Galatasaray and Fenerbahçe, considered “the big three” in Turkey. The sample period spans the period between 2005 to 2012. Multiple regression models are employed where the effect of performance on...

When volatility feedback is taken into account, there is strong evidence of a positive tradeoff between stock market volatility and expected returns on a market portfolio. In this paper, we ask whether this intertemporal tradeoff between risk and return is responsible for the reported evidence of mean reversion in stock prices. There are two relevant findings. First, price movements not related...

This paper investigates the relation between lunar phases and stock market returns of 48 countries. The findings indicate that stock returns are lower on the days around a full moon than on the days around a new moon. The magnitude of the return difference is 3% to 5% per annum based on analyses of two global portfolios: one equal-weighted and the other value-weighted. The return difference is ...

Article history: Received 1 September 2013 Accepted 13 August 2014 Available online 20 August 2014 This paper investigates the link between firm headquarters location and its stock return co-movements in a full sample of Chinese listed firms from 1999 to 2007. The empirical results show a significant stock return co-movement pattern for firms located in the same province. And both firm-level fa...

Since World War II, the United States has experienced two large booms on the stock market. During the first boom, which lasted from the late 1940s to the mid-1960s, stock returns were clearly leading real activity. Moreover, the evidence also suggests the existence of predictable return variations in the discount rate through time as a response to changing business conditions. Therefore, the fi...

This paper shows that the probability of exercise of convertible bonds issued against a firm’s stock directly affects the liquidity of the stock itself. Using the ratio of absolute stock return to its dollar volume as a proxy for stock liquidity I demonstrate that there is a direct and positive relationship between conversion probability and stock liquidity while controlling for firm size, book...

We find that past stock market variance forecasts excess stock market returns and that its predictive ability is greatly enhanced if the consumption-wealth ratio is also included in the forecasting equation. While the risk-return tradeoff is found negative if we use the latter as the instrumental variable for the conditional moments, the former suggests a positive one. We argue that the consump...

We examine the relation between trading volume and skewness in 11 international stock markets using daily and monthly data from January 1980 to August 2004. We construct single equation and VAR models of the relation between the first three moments of market returns and trading volumes. Our results show hitherto unrecognised channels of influence, and support the investor heterogeneity approach...