China launched the Shanghai – Hong Kong Stock Connect Program on November 17, 2014. It announced the first time that China opened its capital market to foreign retail investors. This paper seeks to analyze the effect of this program on the companies cross-listed on the Shanghai Stock Exchange and Hong Kong Stock Exchange. With a more liquid market, the price disparities between these crossliste...

The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate model where the state of one variable feeds into the transition probability of the state of the other. A number of model restrictions and hypotheses can be tested to stress the role of one market relative to another (spillover, interdependence, comovement, independence, Granger...

We present a model of timing of seasonal sales where stores choose several designs at the beginning of the season without knowing which one, if any, will be fashionable. Fashionable designs have a chance to fetch high prices in fashion markets while non-fashionable ones must be sold in a discount market. In the beginning of the season, stores charge high prices in the hope of capturing their fa...

An understanding of volatility in stock markets is important for determining the cost of capital and for assessing investment and leverage decisions as volatility is synonymous with risk. Substantial changes in volatility of financial markets are capable of having significant negative effects on risk averse investors. Using daily returns from 1992 to 2002, we investigate volatility co-movement ...

An understanding of volatility in stock markets is important for determining the cost of capital and for assessing investment and leverage decisions as volatility is synonymous with risk. Substantial changes in volatility of financial markets are capable of having significant negative effects on risk averse investors. Using daily returns from 1992 to 2002, we investigate volatility co-movement ...

Both stochastic dominance and Omegaratio can be used to examine whether the market is efficient, whether there is any arbitrage opportunity in the market and whether there is any anomaly in the market. In this paper, we first study the relationship between stochastic dominance and the Omega ratio. We find that second-order stochastic dominance (SD) and/or second-order risk-seeking SD (RSD) alon...

abstract exchange rate volatility is one of the effective and ambiguous factors in agricultural products export. regarding the importance of agricultural trade, to avoid single-product economy, the main aim of this study is to investigate the impact of exchange rate volatility on the pistachio export of iran during 1338-1386. for this purpose, exchange rate volatility index was estimated using ...

In the current public consultation regarding “Licensing of Mobile Services on Expiry of Existing Licenses for Second Generation Mobile Services”, there are voices calling for a specific 3G standard in order to facilitate the development of mobile data communications. In the viewpoint of this author, this may imply that Hong Kong will give up its decades-long technology neutral stance in licensi...

Agricultural products export has main role among non-oil exports and pistachio is the most important exportable agricultural product in Iran. In this research we tried to deal with the most important weak and strong spots, opportunities and threats facing the advertisement of exporting pistachio in Kerman province. This has been done with the usage of factor analysis (PFA) in combination with S...