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A note on the general elections and long memory: evidence from the London Stock Exchange 关于大选和长期记忆的笔记:来自伦敦证券交易所的证据
Applied Financial Economics Letters Pub Date : 2008-09-26 DOI: 10.1080/17446540701720659
Cheah Eng Tuck, Lee Yoong Hon
{"title":"A note on the general elections and long memory: evidence from the London Stock Exchange","authors":"Cheah Eng Tuck, Lee Yoong Hon","doi":"10.1080/17446540701720659","DOIUrl":"https://doi.org/10.1080/17446540701720659","url":null,"abstract":"The efficient market hypothesis (EMH) in the weak-form requires that there is no serial correlation between the returns at different times and successive price changes. On the contrary, stock returns displaying statistically significant autocorrelation between observations widely separated in time, or long memory, would weaken the properties derived from martingale models for pricing derivatives and other financial assets. Using spectral regression method, the fractional differencing parameter is estimated using 522 trading days (2 years post-UK general election day) in the London Stock Exchange (LSE). Evidence suggests that, regardless of the political party forming the government and consistent with findings for major capital markets, there is no evidence to suggest that the market is inefficient in the weak form of the efficient market hypothesis.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124410868","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Does the rule for voluntary disclosure induce truthful disclosure? 自愿披露的规则是否会导致真实披露?
Applied Financial Economics Letters Pub Date : 2008-09-26 DOI: 10.1080/17446540701720642
Chen-Wen Chen, V. Liu
{"title":"Does the rule for voluntary disclosure induce truthful disclosure?","authors":"Chen-Wen Chen, V. Liu","doi":"10.1080/17446540701720642","DOIUrl":"https://doi.org/10.1080/17446540701720642","url":null,"abstract":"This article demonstrates how Rule 10b-5 of the 1934 Securities and Exchange Act fails to induce voluntary disclosure. We show that company owners may deter the disclosure policy for their financing decisions. While there is a link between the way in which firms raise external capital and the information which their firms disclose, we show that the transformed reaction of disclosure is the signal for the company's financing policy.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126553832","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Efficiency of the South African equity market 南非股票市场的效率
Applied Financial Economics Letters Pub Date : 2008-09-26 DOI: 10.1080/17446540701720717
D. McMillan, P. Thupayagale
{"title":"Efficiency of the South African equity market","authors":"D. McMillan, P. Thupayagale","doi":"10.1080/17446540701720717","DOIUrl":"https://doi.org/10.1080/17446540701720717","url":null,"abstract":"The article examines long memory in equity returns and volatility for South Africa using the ARFIMA-FIGARCH model in order to assess the efficiency of the market. The sample considered encompasses a period of equity market reform in order to ascertain if such reforms promoted efficiency in the market. The results show that volatility exhibits a predictable component in both sample periods, while returns in both sample periods do not. This suggests that equity market reforms had a benign impact on the market.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"18 13","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121012976","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 30
Some properties of absolute returns as a proxy for volatility 绝对收益的一些属性作为波动性的代表
Applied Financial Economics Letters Pub Date : 2008-09-26 DOI: 10.1080/17446540701720709
D. Giles
{"title":"Some properties of absolute returns as a proxy for volatility","authors":"D. Giles","doi":"10.1080/17446540701720709","DOIUrl":"https://doi.org/10.1080/17446540701720709","url":null,"abstract":"We use the stochastic volatility model as a basis for investigating the statistical properties of absolute returns as a measure of latent volatility in financial markets. Our results are compared with existing results for squared returns.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127380274","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 15
The stock market's valuationof R&D externalities 股票市场对研发外部性的评估
Applied Financial Economics Letters Pub Date : 2008-09-26 DOI: 10.1080/17446540701720667
Hironobu Miyazaki, Hiroyuki Aman
{"title":"The stock market's valuationof R&D externalities","authors":"Hironobu Miyazaki, Hiroyuki Aman","doi":"10.1080/17446540701720667","DOIUrl":"https://doi.org/10.1080/17446540701720667","url":null,"abstract":"R&D, particularly basic research, is generally considered as a public good. It provides positive externalities to other firms. This article investigates rival firms' stock-price responses to an increase in the R&D expenditures of a firm. Examining firms in the pharmaceutical industry, we found that the market valuations of some rival firms benefit from R&D externalities. Moreover, the cross-sectional analysis indicated that R&D-intensive firms benefit immensely from them. From this result, investors might assess that these firms have the full potential to absorb new R&D knowledge.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117344722","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Foreign exchange intervention and central bank independence: the Latin American experience 外汇干预与央行独立性:拉丁美洲的经验
Applied Financial Economics Letters Pub Date : 2008-09-26 DOI: 10.1080/17446540701735996
M. Nunes, S. Da Silva
{"title":"Foreign exchange intervention and central bank independence: the Latin American experience","authors":"M. Nunes, S. Da Silva","doi":"10.1080/17446540701735996","DOIUrl":"https://doi.org/10.1080/17446540701735996","url":null,"abstract":"Employing data from 13 Latin American countries, we find that greater central bank independence is associated with lesser intervention in the foreign exchange market, and also with leaning-against-the-wind intervention. We also find that the structural reforms that occurred in Latin America mostly in the 1990s helped to reduce the need for foreign exchange intervention.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132629306","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
An alternative method for measuring risk compensation of event jumps 一种度量事件跳跃风险补偿的替代方法
Applied Financial Economics Letters Pub Date : 2008-09-26 DOI: 10.1080/17446540701720683
Shu-Hsien Chen, M. Tsai, Fangfang Liao
{"title":"An alternative method for measuring risk compensation of event jumps","authors":"Shu-Hsien Chen, M. Tsai, Fangfang Liao","doi":"10.1080/17446540701720683","DOIUrl":"https://doi.org/10.1080/17446540701720683","url":null,"abstract":"The portfolio management strategy can gain additional wealth from measuring the cost of accounting for events jumps. This study captures the characteristic of jumps on international equities return in the real world. This frame work follows the Das and Uppal (2004) and bridges the gap on the p. 2817. We find, in their study, the problem that exists an expected term in the final solution of compensating wealth. This article also finds some relationship between the jump size and portfolio weights on the risk compensation.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115547821","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A threshold model for the Hong Kong warrant prices 香港权证价格的门槛模型
Applied Financial Economics Letters Pub Date : 2008-09-26 DOI: 10.1080/17446540701720600
K. Wong, T. Chong
{"title":"A threshold model for the Hong Kong warrant prices","authors":"K. Wong, T. Chong","doi":"10.1080/17446540701720600","DOIUrl":"https://doi.org/10.1080/17446540701720600","url":null,"abstract":"This article examines the factors that are not considered in the Black–Scholes model in determining the price of warrants. Using the outstanding percentage as a threshold variable, we test for the existence of threshold effect in warrant prices. It is shown that for warrants with a low outstanding percentage, an increase in the outstanding percentage will lower the call price. On the other hand, for warrants with high outstanding percentage, the call price is less affected by the outstanding percentage.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125497328","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A nonparametric approach tothe noise density in stochastic volatility models 随机波动模型中噪声密度的非参数方法
Applied Financial Economics Letters Pub Date : 2008-09-26 DOI: 10.1080/17446540701736010
S. Alfarano, F. Wagner, M. Milakovic
{"title":"A nonparametric approach tothe noise density in stochastic volatility models","authors":"S. Alfarano, F. Wagner, M. Milakovic","doi":"10.1080/17446540701736010","DOIUrl":"https://doi.org/10.1080/17446540701736010","url":null,"abstract":"We propose a nonparametric method to determine the functional form of the noise density in discrete-time stochastic volatility models of financial returns. Our approach suggests that the assumption of Gaussian noise is often adequate, but we do observe deviations from Gaussian noise for some assets, for instance gold.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115323107","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Are stock returns related toshort-term and long-term past returns? Australian evidence 股票收益与短期和长期的过去收益有关吗?澳大利亚的证据
Applied Financial Economics Letters Pub Date : 2008-07-08 DOI: 10.1080/17446540701720535
philip. gharghori, Ronald Lee, M. Veeraraghavan
{"title":"Are stock returns related toshort-term and long-term past returns? Australian evidence","authors":"philip. gharghori, Ronald Lee, M. Veeraraghavan","doi":"10.1080/17446540701720535","DOIUrl":"https://doi.org/10.1080/17446540701720535","url":null,"abstract":"The purpose of this article is to identify whether there is a short-term continuation of returns and a long-term reversal of returns in an Australian setting and to subsequently investigate if the Capital Asset Pricing Model (hereafter CAPM) and the Fama and French (1993) three factor model (hereafter FFM) are capable of explaining these anomalies. We find a short-term continuation of returns but not a long-term reversal of returns. We also find that both models fail to explain the short-term continuation in returns. However, the FFM yields higher explanatory power than the CAPM.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117125143","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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