Previous research on liquidity has studied the relationships between liquidity, trading activity and volatility, mostly with data from US Treasury securities, stocks and foreign exchange spot markets. Liquidity in futures markets, especially electricity futures, has received little attention....

One of the complexities overarching the concept of Islamic insurance is anchored in the belief system pertaining to fundamental Islamic Law, while another is embedded in the role of profit within the takaful contract. The purpose of this study is to empirically explore the association between...

A method is presented that takes into account the day-of-the-week and the turn-of-the-month effect and the holiday effect and embodies them to neural network forecasting. It adjusts the time series in order to make its dynamics less distorted. After a predicted value is calculated by the...

This is a study about how performance influences on the behaviour of investors in Spanish domestic equity funds over an eight-year period. This is a broad timeframe given the relative immaturity of this market when compared to other more developed markets such as the American or English, among...

This study examines the long-run dynamics of ex post and ex ante real interest rates for 16 countries. Three real interest rates -- the realized (ex post) rate and two ex ante rates -- are examined for each of the 16 countries. The magnitude of persistence is estimated using the ARFIMA model....

In response to the recent Asian financial crisis Malaysia introduced a series of capital control measures on 1 September 1998. The aim of these measures was to introduce greater stability to the Malaysian financial market. This study analyses the impact of the introduction of the capital...

In this study, the causality test, proposed by Peguin-Feissolle and Terasvirta (1999), based on a Taylor expansion of the nonlinear model, is used to examine the dynamic relationship between daily Turkish banking sector stock price and trading volume. Evidence is found of significant linear and...

Numerous stock market studies over the last two decades have provided evidence of anomalous price behaviour that is consistent with over-reaction to information. Security analysts'; forecasts of corporate earnings are often seen as a potential driver for prices and so have also been investigated...

This letter extends research reported in Narayan and Smyth (2005) by employing multiple trend break unit root tests to examine the random walk hypothesis for 15 European stock market indices. The results provide strong support for the view that stock prices are characterized by a random walk.

Anomalies and stock returns have been studied thoroughly in the realm of asset pricing. This work is motivated by the lack of such studies on liquidity co-variation patterns. Earlier research documents market-wide commonality in liquidity. However, empirical work on the temporal behaviour of...