... connectedness approach Spillovers Exchange rate Stock markets Gold G10 G11 G15 G18 Retail and institutional investors with a long-term investment horizon are concerned with the long-term impact of shocks in the markets (Wang and Wang, 2019). Understanding the volatility connectedness between...

... Banks Stock markets Dividends Share price volatility Corporate financial managers and researchers lay paramount importance on determining the optimal dividend policy of a firm, first in view of the ongoing emphasis on maximising shareholder value and second because market participants may...

... on stock variance should be positive and statistically significant, together with reductions of GARCH persistence. The authors find this to be the case for the aggregate stock market and for 24 out of its 29 DJIA stocks. The authors leave for further work extensions to estimating the variance equation...

...Silvio John Camilleri Purpose – The purpose of this paper is to empirically investigate whether call auctions which batch orders for simultaneous execution, may restrain stock market volatility. Design/methodology/approach – The authors use high-frequency data to investigate volatility...

... Stock market volatility Global financial crisis Stock return distribution Financial risk Financial markets Stock markets A widely used model in the measurement and management of market risk is the value‐at‐risk (VaR) model which gained acceptance as the standard measure in the mid‐1990s...

... protection: the anti‐self‐dealing index and the revised anti‐director rights index, both taken from Djankov et al. (2008) . © Emerald Group Publishing Limited 2012 United States of America Stock markets Flotation of companies Initial public offerings Valuation Foreign IPOs...

.../value The Malaysian stock market is relatively small compared to the US and UK markets where most previous research has been carried out. The current study allows us to assess the robustness of the models and whether the findings in developed markets may be generalized to the smaller developing markets...

... Decision making Stock markets Valuation Equities Financial statements Discounted cash flow Investment analysis Student managed investment funds Coyote Capital Management (CCM) is a student managed investment fund in the Beacom School of Business at The University of South Dakota. Through CCM...

... Limited 2012 Earnings Assets Pricing Stock markets Earnings smoothing Earnings informativeness Seasonal equity offerings SEO underpricing This paper examines whether high quality firms with persistent earnings smoothing before a seasoned equity offering (SEO) can add value...

...Monzurul Hoque; Jamshid Mehran; Alex Meisami; John R. Busenbark Purpose The purpose of this paper is to investigate the impact of Jewish holidays on US stock market returns. Design/methodology/approach The authors use event study and regression methodology to determine abnormal returns...

... and emerging stock market indices over the time period from 2004 to 2008. The main research question is related to the performance of widely‐accepted and simplified approaches to estimate VaR before and after the financial crisis. Design/methodology/approach VaR is estimated using daily data from the UK...

.... Markellos can be contacted at: rmarkel@aueb.gr © Emerald Group Publishing Limited 2011 Options markets Stock markets Financial markets Prices American options Bermudan options Market microstructure A further complication arises from the fact that early exercise is effectively...

... at: jbsa@tamiu.edu © Emerald Group Publishing Limited 2011 Stock markets Stock returns Illiquidity Anomalies Weekend Monday An extensive literature documents the calendar anomaly known as the Monday or weekend effect [1] . Earlier studies such as French (1980...

...James Philpot; Srinivas Nippani; John G. Greenhut Purpose The purpose of the paper is to check for reverse weekend effect in the Canadian stock market. Design/methodology/approach T‐tests, non‐parametric tests and regressions were employed. Findings There is reverse weekend effect...

...Monzural Hoque; Ingyu Chiou Purpose The purpose of this paper is to investigate the lead‐lag relationships between three major stock markets (Tokyo, London, and New York) over the period 1997‐2007, using the return‐volatility variable. The study aims to use new data to test how one national stock...

... deviation of ln(P_t/P_{t−1) from the mean of the terms ln(Pt/Pt−1), t=2,3, … ,247: Equation 2 Mt closing price of all stock index (market index) stock in day t: Equation 3 Paraschos Maniatis can be contacted at: pman@sch.gr In stock markets}...

...Suzanne G.M. Fifield; David M. Power; Kevin Campbell; Chijioke Ohuocha Purpose The purpose of this paper is to examine whether stock dividend announcements create value for companies traded on the Nigerian stock market and to ascertain the nature of the information such announcements convey...

...Suzanne G.M. Fifield; David M. Power; Konstantinos Tolikas Purpose The purpose of this paper is to investigate the asymptotic distribution of the extreme daily stock returns in African stock markets over the period 1996‐2007 and examine the implications for downside risk measurement. Design...

... is higher than what is indicated by the average state of the order book. This might increase the attractiveness of African stock markets for global portfolio managers. Originality/value To the best of the authors' knowledge, this paper is the first to empirically study sunshine trading as theoretically...

...Suzanne G.M. Fifield; David M. Power; Sam Agyei‐Ampomah Purpose The purpose of this paper is to examine the nature and extent of linkages between African stock markets and the relationships between these markets and that of regional and global indices. Design/methodology/approach The monthly...