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Các bài báo tiêu biểu
The impact of cross‐listings on the UK and the German stock markets
Tập 27 Số 1 - Trang 4-18 - 2010
PurposeThe purpose of this paper is to examine volatility transmissions between
portfolios of cross‐listed equities and exchange rate differences and also the
volatility persistence for home, foreign equities, and exchange rate differences
in the UK and German markets.Design/methodology/approachA primary focus of this
paper is to see if there is an impact first on the volatility persistence for
fo...
IMPLICATIONS FOR NATIONAL EQUITY MARKET COMOVEMENTS: AN APPLICATION OF THE ENGLE‐GRANGER TWO‐STEP PROCEDURE
Tập 15 Số 2 - Trang 31-59 - 1994
This paper tests for longrun relationships among the national equity markets of
the G'7 countries using the Engle‐Granger two‐step procedure. Results indicate
that cointegration is the norm among these seven equity markets in the
post‐Bretton Woods period. Further, market adjustments to system equilibria are
accelerating as one moves toward the present implying that markets are becoming
more integ...
A THEORY OF THE METHODOLOGY OF ECONOMICS
Tập 4 Số 2 - Trang 3-16 - 1980
This paper presents a theory of the determinants of the methodology of
economics. Following the useful distinction made by Papendreou (1958), theory is
defined as comprising both a model and a probability statement as to the
empirical validity of the model. Accordingly, first a model of the determinants
of methodology of economics is presented and, then as an illustration, the model
is applied to ...
AUSTRIANS vs. MONETARISTS ON MONEY & CREDIT
Tập 8 Số 2 - Trang 81-96 - 1984
This paper focuses on the differences between the Austrian School's (Au) and the
Monetarist's (Mt) position on Monetary theory. It will be shown that Au have a
complete micro outlook that is not in the quantity theory tradition. Au reject
central banking and coordinated monetary policy in favor of a system of free
banking in which there is no government money. To Au, central banking, with its
mono...
A NOTE ON GOOD RIDGE ESTIMATORS BASED ON PRIOR INFORMATION
Tập 3 Số 1 - Trang 77-79 - 1979
Theil (1963) suggested a mixed estimator when there is prior information used in
regression analysis. It implies that the investigator not only estimates a
parameter based on the sample data, but also combines the prior information by
formulating it in terms of unbiased estimates and their covariance matrix. In
particular, he assumes that the prior unbiased estimators r are q linear
combinations o...
BRANCH BANKING RESTRICTIONS, COMPETITION, AND COMMERCIAL BANK PROFITS: A CROSS‐SECTIONAL STUDY
- 1984
Many states still limit or prohibit commercial bank branching. In addition, the
McFadden Act prevents banks from branching across state lines. It has been
suggested that anti‐branching laws inhibit competition in the banking industry.
This follows from the notion that bank markets are localized, and that
anti‐branching laws prevent banks from penetrating local markets adjacent to
their main office...
Specialization and other determinants of non‐commercial bank financial institutions' profitability
- 2009
PurposeThe purpose of the present study is to provide empirical evidence on the
factors that influence non‐commercial bank financial institutions (NCBFIs)
profitability in a developing economy.Design/methodology/approachThe least
squares methods of random effects, fixed effects, and ordinary least square
models are employed to examine the NCBFIs specific and macroeconomic
determinants of NCBFI pro...
A factor analysis of international portfolio diversification
Tập 25 Số 3 - Trang 165-174 - 2008
PurposeThe purpose of this paper is to investigate the relationships between
stock market returns of 13 countries based upon monthly data spanning December
1987 to April 2007.Design/methodology/approachSpecifically, the principal
component (PC) and maximum likelihood (ML) methods are used to examine any
discernable patterns of stock market co‐movements.FindingsFactor analysis
provides evidence tha...
ARE THE CPI AND WPI APPROPRIATE MEASURES TO USE FOR TESTING THE PPP HYPOTHESIS?
Tập 18 Số 1 - Trang 62-99 - 1997
This paper evaluates the commonly used CPI and WPI proxies for the real exchange
rate by comparing them to new measures constructed from a different data series
of traded and nontraded goods prices. The tests provide mixed evidence in favor
of using the general price indexes to construct measures of the real exchange
rate.
The effect of universal futures on opening and closing stock market price discovery
- 2011
PurposeOn 29 January 2001, Euronext LIFFE introduced single security futures
contracts on a range of global companies. The purpose of this paper is to
examine the impact that the introduction of these futures contracts had on the
behaviour of opening and closing UK equity
returns.Design/methodology/approachThe paper models the price discovery process
using the Amihud and Mendelson partial adjustme...