Table of contents
TICK SIZES, STOCK PRICES, AND SHARE TURNOVER: INTERNATIONAL EVIDENCE
EDWARD A. DYL, H. DOUGLAS WITTE, LARRY R. GORMANWe examine tick sizes, stock prices, and share turnover in eighteen stock markets in developed countries and find that differences in mandatory tick sizes explain a significant…
REVEALING THE MARKET PRICE OF RISK FROM THE SHORT‐TERM RATE PROCESS
GEORGI GEORGEV, JAY JUNG, HOSSEIN B. KAZEMI, MAHNAZ MAHDAVIThis paper shows that for a large class of single and multi‐factor term structure models, including the affine class, the market price of risk is directly related to the…
MEAN AND VOLATILITY TRANSMISSION FOR LATIN AMERICAN EQUITY MARKETS
ROBERTO CURCI, TERRANCE GRIEB, MARIO G. REYESThis study uses a two‐step GARCH‐M procedure to observe mean‐return and volatility transmissions between Latin American markets and to Latin America from external markets during…
THE DETERMINANTS FOR STOCK RETURNS IN EMERGING MARKETS: THE CASE OF TAIWAN
ANLIN CHEN, EVA H. TUWhether the risk factors or firm characteristics cause the value premium of stocks still needs further investigation. This paper shows that the factor‐based models are significant…
THE ‘TAYLOR RULE’ AND THREE MONETARY REGIMES
ROGER W. SPENCER, JOHN H. HUSTONJohn Taylor devised a simple monetary policy rule that links the Federal Reserve's policy interest rate with inflation and output targets. This paper compares actual policy rates…
ISSN:
1086-7376Online date, start – end:
1977Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridEditor:
- Prof Niklas Wagner