for Journals by Title or ISSN
for Articles by Keywords

Publisher: Emerald   (Total: 309 journals)

 A  B  C  D  E  F  G  H  I  J  K  L  M  N  O  P  Q  R  S  T  U  V  W  X  Y  Z  

  First | 1 2 3 4 | Last

J. of Managerial Psychology     Hybrid Journal   (Followers: 12, SJR: 0.759, h-index: 34)
J. of Manufacturing Technology Management     Hybrid Journal   (Followers: 4, SJR: 0.656, h-index: 35)
J. of Mental Health Training, Education and Practice, The     Hybrid Journal   (Followers: 7, SJR: 0.221, h-index: 2)
J. of Modelling in Management     Hybrid Journal   (Followers: 1)
J. of Money Laundering Control     Hybrid Journal   (Followers: 3)
J. of Organizational Change Management     Hybrid Journal   (Followers: 21, SJR: 0.403, h-index: 37)
J. of Organizational Effectiveness : People and Performance     Hybrid Journal   (Followers: 2)
J. of Organizational Ethnography     Hybrid Journal   (Followers: 6)
J. of Place Management and Development     Hybrid Journal   (Followers: 2, SJR: 0.419, h-index: 1)
J. of Product & Brand Management     Hybrid Journal   (Followers: 6, SJR: 0.383, h-index: 22)
J. of Property Investment & Finance     Hybrid Journal   (Followers: 4, SJR: 0.474, h-index: 12)
J. of Public Mental Health     Hybrid Journal   (Followers: 18, SJR: 0.151, h-index: 3)
J. of Quality in Maintenance Engineering     Hybrid Journal   (Followers: 4, SJR: 0.851, h-index: 29)
J. of Research in Interactive Marketing     Hybrid Journal   (Followers: 6, SJR: 0.544, h-index: 8)
J. of Research in Marketing and Entrepreneurship     Hybrid Journal   (Followers: 11)
J. of Risk Finance, The     Hybrid Journal   (Followers: 9)
J. of Science and Technology Policy Management     Hybrid Journal   (Followers: 2, SJR: 0.249, h-index: 3)
J. of Service Management     Hybrid Journal   (Followers: 8, SJR: 1.162, h-index: 14)
J. of Services Marketing     Hybrid Journal   (Followers: 11, SJR: 1.069, h-index: 31)
J. of Small Business and Enterprise Development     Hybrid Journal   (Followers: 13, SJR: 0.289, h-index: 20)
J. of Social Marketing     Hybrid Journal   (Followers: 8, SJR: 0.662, h-index: 7)
J. of Strategy and Management     Hybrid Journal   (Followers: 4)
J. of Systems and Information Technology     Hybrid Journal   (Followers: 4, SJR: 0.221, h-index: 3)
J. of Technology Management in China     Hybrid Journal   (Followers: 1)
J. of Workplace Learning     Hybrid Journal   (Followers: 6, SJR: 0.547, h-index: 18)
Kybernetes     Hybrid Journal   (Followers: 1, SJR: 0.298, h-index: 22)
Leadership & Organization Development J.     Hybrid Journal   (Followers: 19, SJR: 0.521, h-index: 20)
Leadership in Health Services     Hybrid Journal   (Followers: 21, SJR: 0.319, h-index: 10)
Library Hi Tech     Hybrid Journal   (Followers: 1134, SJR: 0.926, h-index: 19)
Library Hi Tech News     Hybrid Journal   (Followers: 763, SJR: 0.442, h-index: 8)
Library Management     Hybrid Journal   (Followers: 862, SJR: 0.948, h-index: 12)
Library Review     Hybrid Journal   (Followers: 771, SJR: 0.573, h-index: 11)
Management Decision     Hybrid Journal   (Followers: 6, SJR: 1.423, h-index: 34)
Management of Environmental Quality: An Intl. J.     Hybrid Journal   (Followers: 5, SJR: 0.265, h-index: 14)
Management Research : The J. of the Iberoamerican Academy of Management     Hybrid Journal   (Followers: 3)
Management Research News     Hybrid Journal   (Followers: 3)
Management Research Review     Hybrid Journal   (Followers: 5, SJR: 0.318, h-index: 13)
Managerial Auditing J.     Hybrid Journal   (Followers: 1, SJR: 0.29, h-index: 19)
Managerial Finance     Hybrid Journal   (Followers: 3)
Managing Service Quality     Hybrid Journal   (Followers: 8, SJR: 0.72, h-index: 28)
Marketing Intelligence & Planning     Hybrid Journal   (Followers: 12, SJR: 0.354, h-index: 24)
Measuring Business Excellence     Hybrid Journal   (Followers: 1, SJR: 0.438, h-index: 13)
Meditari Accountancy Research     Hybrid Journal   (Followers: 1)
Mental Health and Social Inclusion     Hybrid Journal   (Followers: 19, SJR: 0.211, h-index: 4)
Mental Health Review J.     Hybrid Journal   (Followers: 14, SJR: 0.191, h-index: 2)
Microelectronics Intl.     Hybrid Journal   (SJR: 0.331, h-index: 14)
Multicultural Education & Technology J.     Hybrid Journal   (Followers: 3, SJR: 0.236, h-index: 5)
Multidiscipline Modeling in Materials and Structures     Hybrid Journal   (Followers: 1, SJR: 0.245, h-index: 7)
Multinational Business Review     Hybrid Journal   (Followers: 1)
Nankai Business Review Intl.     Hybrid Journal  
New Library World     Hybrid Journal   (Followers: 682, SJR: 0.746, h-index: 13)
Nutrition & Food Science     Hybrid Journal   (Followers: 8, SJR: 0.183, h-index: 10)
OCLC Systems & Services     Hybrid Journal   (Followers: 258, SJR: 0.378, h-index: 12)
On the Horizon     Hybrid Journal   (SJR: 0.398, h-index: 12)
Online Information Review     Hybrid Journal   (Followers: 305, SJR: 0.712, h-index: 30)
Pacific Accounting Review     Hybrid Journal  
Performance Measurement and Metrics     Hybrid Journal   (Followers: 5, SJR: 0.387, h-index: 10)
Personnel Review     Hybrid Journal   (Followers: 8, SJR: 0.876, h-index: 36)
Pigment & Resin Technology     Hybrid Journal   (Followers: 1, SJR: 0.322, h-index: 21)
Policing: An Intl. J. of Police Strategies & Management     Hybrid Journal   (Followers: 10, SJR: 0.486, h-index: 22)
Program: Electronic Library and Information Systems     Hybrid Journal   (Followers: 381, SJR: 0.554, h-index: 14)
Property Management     Hybrid Journal   (Followers: 1, SJR: 0.304, h-index: 9)
Qualitative Market Research: An Intl. J.     Hybrid Journal   (Followers: 3, SJR: 0.365, h-index: 18)
Qualitative Research in Accounting & Management     Hybrid Journal   (Followers: 7, SJR: 0.254, h-index: 3)
Qualitative Research in Financial Markets     Hybrid Journal   (Followers: 4)
Qualitative Research in Organizations and Management: An Intl. J.     Hybrid Journal   (Followers: 6)
Quality Assurance in Education     Hybrid Journal   (Followers: 4, SJR: 0.665, h-index: 19)
Quality in Ageing and Older Adults     Hybrid Journal   (Followers: 31, SJR: 0.239, h-index: 11)
Rapid Prototyping J.     Hybrid Journal   (Followers: 2, SJR: 0.928, h-index: 41)
Records Management J.     Hybrid Journal   (Followers: 12, SJR: 0.275, h-index: 9)
Reference Reviews     Hybrid Journal   (Followers: 8)
Reference Services Review     Hybrid Journal   (Followers: 27, SJR: 1.599, h-index: 16)
Research on Economic Inequality     Hybrid Journal   (Followers: 4, SJR: 0.232, h-index: 8)
Research on Emotion in Organizations     Hybrid Journal   (Followers: 7, SJR: 0.186, h-index: 6)
Review of Accounting and Finance     Hybrid Journal   (Followers: 2, SJR: 0.125, h-index: 2)
Review of Marketing Research     Hybrid Journal   (Followers: 12, SJR: 0.518, h-index: 3)
Safer Communities     Hybrid Journal   (Followers: 1, SJR: 0.338, h-index: 4)
Sensor Review     Hybrid Journal   (Followers: 1, SJR: 0.257, h-index: 21)
Smart and Sustainable Built Environment     Hybrid Journal   (Followers: 7)
Social Care and Neurodisability     Hybrid Journal   (Followers: 4)
Social Enterprise J.     Hybrid Journal   (Followers: 7)
Social Responsibility J.     Hybrid Journal   (Followers: 1, SJR: 0.228, h-index: 4)
Society and Business Review     Hybrid Journal   (Followers: 2)
Soldering & Surface Mount Technology     Hybrid Journal   (Followers: 3, SJR: 0.303, h-index: 21)
South Asian J. of Global Business Research     Hybrid Journal  
Sport, Business and Management : An Intl. J.     Hybrid Journal   (Followers: 5)
Strategic Direction     Hybrid Journal   (SJR: 0.112, h-index: 4)
Strategic HR Review     Hybrid Journal   (Followers: 3)
Strategic Outsourcing : An Intl. J.     Hybrid Journal   (Followers: 2)
Strategy & Leadership     Hybrid Journal   (Followers: 18, SJR: 0.209, h-index: 15)
Structural Survey     Hybrid Journal   (SJR: 0.285, h-index: 9)
Studies in Economics and Finance     Hybrid Journal   (Followers: 3, SJR: 0.222, h-index: 5)
Supply Chain Management: An Intl. J.     Hybrid Journal   (Followers: 8, SJR: 1.628, h-index: 56)
Sustainability Accounting, Management and Policy J.     Hybrid Journal   (Followers: 7, SJR: 0.355, h-index: 4)
Team Performance Management     Hybrid Journal   (Followers: 7, SJR: 0.283, h-index: 11)
The Bottom Line: Managing Library Finances     Hybrid Journal   (Followers: 211, SJR: 0.349, h-index: 6)
The Electronic Library     Hybrid Journal   (Followers: 912, SJR: 0.799, h-index: 23)
The Learning Organization     Hybrid Journal   (Followers: 6, SJR: 0.433, h-index: 20)
The TQM J.     Hybrid Journal   (Followers: 2, SJR: 0.712, h-index: 35)
Therapeutic Communities : The Intl. J. of Therapeutic Communities     Hybrid Journal   (SJR: 0.149, h-index: 10)

  First | 1 2 3 4 | Last

Journal Cover   Studies in Economics and Finance
  [SJR: 0.222]   [H-I: 5]   [5 followers]  Follow
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1086-7376
   Published by Emerald Homepage  [309 journals]
  • Flight to quality' An investigation of changing price spreads in
           commercial real estate markets
    • Authors: Franz Fuerst et al
      First page: 2
      Abstract: Studies in Economics and Finance, Volume 32, Issue 1, March 2015. Purpose This paper uses sales transaction data in order to examine whether flight from risk phenomena took place in the US office market during the financial crisis of 2007-2009. The effect of the crisis on the pricing of asset quality attributes is investigated. Design/methodology/approach Hedonic regression procedures are used to test the hypothesis that the spread between the pricing of low quality and high quality characteristics increased during the crisis period compared to the pre-crisis period. Findings The results of the hedonic regression models suggest that the price spread between Class A and other properties grew significantly during the downturn. Research limitations/implications Our results are consistent with the hypothesis of an increased price spread following a market downturn between Class A and non-Class A offices. The evidence suggests that the relationships between the returns on Class A and non-Class A assets changed during the period of market stress or crisis. Practical implications These findings have implications for real estate portfolio construction. If regime switches can be predicted and/or responded to rapidly, portfolios may be rebalanced. In crisis periods, portfolios might be reweighted towards Class A properties and in positive market periods, the reweighting would be towards non-Class A assets. Originality/value This is one of the first studies that address the flight to quality phenomenon in commercial real estate markets during periods of financial crisis and market turmoil.
      PubDate: Wed, 28 Jan 2015 01:22:10 GMT
      DOI: 10.1108/SEF-10-2013-0155
  • House price cycles in emerging economies
    • Authors: Alessio Ciarlone et al
      First page: 17
      Abstract: Studies in Economics and Finance, Volume 32, Issue 1, March 2015. Purpose In this paper, I investigate the characteristics of house price dynamics for a sample of 16 emerging economies from Asia and Central and Eastern Europe, over the period 1995-2011. Design/methodology/approach Linking housing valuations to a set of conventional fundamental determinants – relative to both the supply and the demand side of the market, institutional factors and other asset prices – and modelling short-term price dynamics – which reflect gradual adjustment to underlying fundamentals – I draw conclusions about the existence, and the basic nature, of house price overvaluation (undervaluation). Findings Overall, I find that actual house prices in the sample of emerging economies are not overly disconnected from fundamentals. Rather, they tend to reflect a somewhat slow adjustment to shocks to the latter. Moreover, the evidence that housing valuations may be driven by overly optimistic (or pessimistic) expectations is in general weak. Research limitations/implications Residential property prices used in the empirical analysis have many limitations: while some series are derived using a hedonic pricing method, others are based on floor area prices collected by national authorities; while some countries publish house prices in national currency per-square metre (or per apartment or per dwelling), others calculate an index number scaled to some base year; while some countries publish statistics for the whole national territory, others produce data only for the capital city or for the largest cities in the country; data from national sources refer to different types of residential property; finally, available time series are relatively short, which may adversely affect the robustness of estimation results. Practical implications The decomposition suggested in the paper has important implications: it would be paramount, in fact, for policymakers to implement market-specific diagnoses, and to find the right policy instruments that can ideally distinguish between the two underlying components driving house price short-run dynamics. Originality/value Very small body of empirical literature on housing market developments in emerging economies, especially if focused on the comparisons between the actual dynamics of housing valutations and the equilibrium one.
      PubDate: Wed, 28 Jan 2015 01:22:03 GMT
      DOI: 10.1108/SEF-11-2013-0170
  • New evidence on alliance experience and acquisition performance: short-run
           pain, long-run gain'
    • Authors: Yiwei Fang et al
      First page: 53
      Abstract: Studies in Economics and Finance, Volume 32, Issue 1, March 2015. Purpose This study builds on organizational learning theory, and proposes a complex strategy by combining strategic alliance with subsequent acquisitions to penetrate new product markets. We empirically examine whether and to what extent preacquisition alliance experience affects the short-term and long-term stock performance of acquiring firms. Design/methodology/approach We collect data on acquisitions in which the acquirers have experience from preacquisition alliance activities in their targets’ respective industry. We focus on diversifying acquisitions to ensure that preacquisition alliance experience is the major source of organizational learning. We use a standard event study to examine acquirers’ abnormal returns and adopt a Fama-French calendar-time portfolio approach to gauge long-run abnormal stock performance. In addition, we employ regression analysis to investigate the alliance-acquisition relationship, controlling a set of variables capturing firm and acquisition characteristics. Findings We document that in the short run, alliance experience may not always benefit acquirers’ stock performance surrounding the acquisition announcements. In particular, for acquiring firms experiencing negative cumulative abnormal returns (CARs), investors value alliance experience negatively. However, for up to 36 months after acquisitions, acquirers with alliance experience outperform their counterparts in almost every acquisition category regardless of the short-term announcement returns. Originality/value The current paper uses a large-scale representative sample to investigate the dynamic interaction between alliances and acquisitions as two organizational forms for firms to grow. Our findings indicate that firms can deliberately learn from their alliance activities and later on enter new markets through acquisitions. More important, we find that, at least for some acquirers, preacquisition alliance activities are associated with worse short-term stock price performance because of possible information spillover and lifted entry barriers. We confirm that short-term pain nets long-term gains for acquirers heading into new markets.
      PubDate: Wed, 28 Jan 2015 01:22:01 GMT
      DOI: 10.1108/SEF-07-2014-0130
  • Traders and time: who moves the market'
    • Authors: Fabrizio Ferriani et al
      First page: 74
      Abstract: Studies in Economics and Finance, Volume 32, Issue 1, March 2015. Purpose This research is aimed to investigate the impact of different categories of traders on price and volume durations at Euronext Paris. The two series are respectively related to the instantaneous volatility and the market liquidity, hence they are particularly suited to test microstructure hypotheses. Design/methodology/approach We adopt a Log-ACD model to include the information on the traders’ identity at the transaction level. We use high frequency data and we study how the informed traders and the liquidity provider affect the arrival of market events. We also check the robustness of our results by testing different distributions and controlling for microstructure effects. Findings We find that informed traders and the liquidity provider exert a dominant role in accelerating the market activity. This result depends on the state of the market, i.e. it is effective only during periods of high frequency of transactions. The estimates for price durations show that a high instantaneous volatility can be mainly ascribed to a great concentration of informed traders. Informed traders are also found to shorten volume durations by clustering small size orders to disguise their private signal. For both durations, the liquidity provider is also found to foster the market activity, likely because of his contractual duties. Originality/value The article is of interest for researchers in the field of market microstructure as well as for specialists in the high frequency trading. Our results provide an empirical confirmation of information models which theorize an accelerating effect for informed trading. To the best of our knowledge, this is the first contribution to study the impact of traders'categories at the transaction level and with different definitions of durations.
      PubDate: Wed, 28 Jan 2015 01:22:06 GMT
      DOI: 10.1108/SEF-03-2014-0065
  • The performance of bid-ask spread estimators under less than ideal
    • Authors: Michael Bleaney et al
      First page: 98
      Abstract: Studies in Economics and Finance, Volume 32, Issue 1, March 2015. Purpose The bid-ask spread is important for many reasons. Because spread data are not always available, many methods have been suggested for estimating the spread. Existing papers focus on the performance of the estimators either under ideal conditions or in real data. The gap between ideal conditions and the properties of real data is usually ignored. The consistency of the estimates across various sampling frequencies is also ignored. This paper investigates the performance of estimators of the bid-ask spread in a wide range of circumstances and sampling frequencies. Design/methodology/approach The estimators and the possible errors are analysed theoretically. Then we perform simulation experiments, reporting the bias, standard deviation and root mean square estimation error of each estimator. More specifically, we assess the effects of the following factors on the performance of the estimators: the magnitude of the spread relative to returns volatility, randomly varying of spreads, the autocorrelation of mid-price returns, and mid-price changes caused by trade directions and feedback trading. Findings The best estimates come from using the highest frequency of data available. The relative performance of estimators can vary quite markedly with the sampling frequency. In small samples, the standard deviation can be more important to the estimation error than bias; in large samples, the opposite tends to be true. Originality/value There is a conspicuous lack of simulation evidence on the comparative performance of different estimators of the spread under the less than ideal conditions that are typical of real-world data. This paper aims to fill this gap.
      PubDate: Wed, 28 Jan 2015 01:22:05 GMT
      DOI: 10.1108/SEF-04-2014-0075
  • Volatility behaviour of stock index futures in China: a bivariate GARCH
    • Authors: Yang Hou et al
      First page: 128
      Abstract: Studies in Economics and Finance, Volume 32, Issue 1, March 2015. Purpose This paper aims to investigate the volatility transmission and dynamics in CSI 300 index futures market. Design/methodology/approach This paper applies the bivariate Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation (DCC) GARCH models using high frequency data. Estimates for the bivariate GARCH models are obtained by maximising the log-likelihood of the probability density function of a conditional Student’s t distribution. Findings Our empirical analysis yields a few interesting results: (i) There is a one-way feedback of volatility transmission from the CSI 300 index futures to spot returns, suggesting index futures market leads the spot market; (ii) Volatility response to past bad news is asymmetric for both markets. (iii) Volatility can be intensified by the disequilibrium between spot and futures prices; (iv) Trading volume has significant impact on volatility for both markets. These results reveal new evidence on the informational efficiency of the CSI 300 index futures market compared to earlier studies. Originality/value This paper shows that the CSI 300 index futures market has improved in terms of price discovery one year after its existence compared to its early days. This is an important finding for market participants and regulators. Further, this study considers the volatility response to news, market disequilibrium and trading volume. The findings are thus useful for financial risk management.
      PubDate: Wed, 28 Jan 2015 01:22:08 GMT
      DOI: 10.1108/SEF-10-2013-0158
  • A structural VAR analysis of Islamic financing in Malaysia
    • Authors: Mansor H Ibrahim et al
      Abstract: Studies in Economics and Finance, Volume 31, Issue 4, September 2014. Purpose The present paper evaluates the interrelations between Islamic financing and key economic and financial variables including real output, price level, interest rate and stock prices for the case of Malaysia. Design/methodology/approach The paper makes use of a structural vector autoregressive (SVAR) model to discern the influences of key economic and financial variables on the behavior of Islamic financing. Findings The basic results indicate that Islamic financing responds positively to innovations in real output. In addition, the price level shocks also tend to have significant but lagged effects on the financing provision of Islamic banks. Most interestingly, Islamic financing is impacted negatively and immediately by positive interest rate shocks, contradicting the argument that Islamic bank operations are shielded from interest rate fluctuations. Indeed, the excess sensitivity of Islamic banks to interest rate fluctuations and their lagged responses to price level shocks are found to be robust across alternative SVAR specifications. Practical implications Operating under a dual banking system, Islamic banks are not immune from monetary conditions of the country. Indeed, it seems to be exposed to interest rate risk, an aspect that needs to be accounted for by Islamic banks in their risk management. Originality/value With the emergence of Islamic finance industry, understanding the implications of various macroeconomic factors on Islamic financing is essential. This study adds to this understanding, which has received limited attention.
      PubDate: Tue, 16 Sep 2014 09:44:19 GMT
  • Stock Market Predictability: Non-Synchronous Trading or Inefficient
           Markets' Evidence from the National Stock Exchange of India
    • Authors: Silvio John Camilleri et al
      Abstract: Studies in Economics and Finance, Volume 31, Issue 4, September 2014. Purpose The main objective of this study is to obtain new empirical evidence on non-synchronous trading effects through modelling the predictability of market indices. Design/methodology/approach We test for lead-lag effects between the Indian Nifty and Nifty Junior indices using Pesaran-Timmermann tests and Granger-Causality. We then propose a simple test on overnight returns, in order to infer whether the observed predictability is mainly attributable to non-synchronous trading or some form of inefficiency. Findings The evidence suggests that non-synchronous trading is a better explanation for the observed predictability in the Indian stock market. Research limitations/implications The indication that non-synchronous trading effects become more pronounced in high-frequency data, suggests that prior studies using daily data may underestimate the impacts of non-synchronicity. Originality/value The originality of the paper rests on various important contributions: (a) we look at overnight returns to infer whether predictability is more attributable to non-synchronous trading or to some form of inefficiency, (b) we investigate the impacts of non-synchronicity in terms of lead-lag effects rather than serial correlation, and (c) we use high-frequency data which gauges the impacts of non-synchronicity during less active parts of the trading day.
      PubDate: Tue, 16 Sep 2014 09:44:19 GMT
  • Trading Volume and Return Relationship in the Crude Oil Futures Markets
    • Authors: SAADA ABBA ABDULLAHI et al
      Abstract: Studies in Economics and Finance, Volume 31, Issue 4, September 2014. Purpose The purpose of this paper is to examine the relationship between trading volume and returns in the WTI and Brent crude oil futures markets. The paper addresses two important issues. First, whether there is a positive relationship between returns and trading volume in the crude oil futures markets. Second, whether information regarding trading volume contributes to forecasting the magnitude of returns in the markets, an important issue because the ability of trading volume to predict returns imply market inefficiency. Design/methodology/approach The paper used daily closing futures price and their corresponding trading volumes for West Texas Intermediate and Brent crude oil markets during the sample period January 2008 to May 2011. Both the log volume and the unexpected component of the detrended volume are used in the analysis in other to have robust alternative conclusion. The generalized method of moments approach (GMM) is employed to examine the contemporaneous relationship between returns and trading volume while the Granger causality approach, impulse response and variance decomposition analysis are employed to investigate the ability of trading volume to predict returns in the oil futures markets. Findings The results reject the postulation of a positive relationship between trading volume and returns, suggesting that trading volume and returns are not driven by the same information flow which contradicts the mixture of distribution hypothesis in all markets. The results also show that neither trading volume nor returns have the power to predict the other and therefore contradicting the sequential arrival hypothesis and noise trader model in all markets. Finally, the findings support the efficient market hypothesis in the crude oil futures markets. Originality/value The findings has important implications to market regulators because it shows that daily price movement and trading volume do not respond to the same information flow and therefore the measures that control price volatility and volume of trade should be independent; otherwise they may not provide fruitful outcomes. Also, traders and investors who participate in oil futures should not base their decisions on past trading volume because it will lead to profit loss. The results also have implications for market efficiency as past information cannot assist speculators to forecast returns in all the markets. Finally, investors can benefit from portfolio diversification across the two oil markets.
      PubDate: Tue, 16 Sep 2014 09:44:16 GMT
  • Are stock prices stationary' Some new evidence from a panel data
    • Authors: Xin Shen et al
      Abstract: Studies in Economics and Finance, Volume 31, Issue 4, September 2014. Purpose This paper investigates whether mean reversion holds for a panel of 16 OECD stock markets for the period 1970 to 2011. Design/methodology/approach We employ seemingly unrelated regression (SUR)-based linear and non-linear unit root tests which are not only able to exploit the power of panel data analysis but also account for cross sectional dependencies as well as indentify which panel members are stationary. Findings In contrast to a literature that offers mixed findings on stationarity, we find that most of our sample are characterised as mean- or trend-reverting with approximated half-lives in the region of three to five years. Originality/value In contrast to other panel unit root tests of stock prices, we identify which individual panel members are stationary and non-stationary using a SURADF test. A further novelty of our approach is that we also develop a SUR-based panel KSS test that allows us to explore the possibility that stock prices exhibit non-linear stationarity.
      PubDate: Tue, 16 Sep 2014 09:44:16 GMT
  • “Regional Volatility: Common or Country Specific' Exploration of
           International Stock Market”
    • Authors: Asma Mobarek et al
      Abstract: Studies in Economics and Finance, Volume 31, Issue 4, September 2014. Purpose The primary objective of this paper is to test whether the volatility of regional stock markets’ is common or country specific for 46 international markets of the Asian, European, African and Latin American regions using the MSCI daily prices in the period from Jan 1998 to Dec 2009. Further, the study has been divided into two sub periods to distinguish the effects of the current subprime financial crisis and to determine whether the crisis has an impact on the fluctuations of common component of stock market volatility. Design/methodology/approach The paper applies the time-varying weighting methodology of Lumsdaine and Prasad (2003) to determine whether the volatility fluctuation is country specific or common across the countries. Findings The results evidence that the volatility of stock returns is due to common factors;, rather than country specific ones, but this is not always the case . However, this common component is more stable in European and Latin American countries than in the Asian Pacific and African regions. Furthermore, the results suggest that the influence of a common component has been enhanced significantly during the current subprime financial crisis Practical implications The study has implication for domestic and international investors, portfolio managers as well as policy makers to implement economic and financial policy that promote stability, reduce vulnerability to crises and encourage sustained growth and living standards. Originality/value To the best of the authors’ knowledge, this is the first study to include 4 regional samples and test the common component of fluctuations of regional stock markets volatility.
      PubDate: Tue, 16 Sep 2014 09:44:16 GMT
School of Mathematical and Computer Sciences
Heriot-Watt University
Edinburgh, EH14 4AS, UK
Tel: +00 44 (0)131 4513762
Fax: +00 44 (0)131 4513327
About JournalTOCs
News (blog, publications)
JournalTOCs on Twitter   JournalTOCs on Facebook

JournalTOCs © 2009-2015