The recent episodes of the gains and losses in their share price of meme stocks (e.g., GameStop) at an unexpectedly fast pace and at a large magnitude would be viewed as “speculative bubbles” associated with Irrational Exuberance (IE) of the investors. In this paper, we shed light on a...

We examine the long-run pricing relationship among crude oil prices at the North Sea (Brent) and Cushing (WTI) delivery points. The Brent-WTI location basis differential is stable until December 2009, but it widens to record levels in the next two years. We report on recent changes in the crude...

We investigate the behaviour of bid-ask spread components around the U.S. Federal Funds Rate announcements for a sample of cross-listed firms in Canada and in the U.S. We use transaction level data to decompose the spread into its three components, namely, information asymmetry, order...

This paper explores the impacts of key policy actions by US and European authorities on stock returns of systemically important banks in Europe and US around the subprime crisis. We find that the US policy announcements had a stronger impact on the European and US banking industry than the...

The upward bias of the widely used Thompson-Waller estimator has been pointed out in the literature. In contrast the current paper provides a case the estimator would have downward bias. Such case satisfies the two conditions: (i) the buy (sell) order tends to follow buy (sell) order and (ii)...

This study examines the role for the Tokyo and the New York Stock Exchange in price discovery for Japanese shares. The two markets' trading hours do not overlap and the trading volume concentrates in Tokyo. State space model approach is employed to investigate the contribution and the efficiency...

This paper explores the impacts of key policy actions by US and European authorities on stock returns of systemically important banks in Europe and US around the subprime crisis. We find that the US policy announcements had a stronger impact on the European and US banking industry than the...