The recent Global Financial Crisis has focused our attention on the integrity of rating agencies. Often condemned for being too slow to act, rating agencies have been blamed during many financial crises. This impression opens some research questions addressed in this paper. What are the...

This paper assesses the impact of asset backed ratings on the Merrill Lynch US Asset Backed Securities and Commercial Mortgage Backed Securities Index (CABs index) over a period January 1998 through to February 2010. In particular, we examine the relationship between ratings changes of the asset...

This article explores the impacts of sovereign rating changes by multiple rating agencies on foreign exchange rate volatility during the Asian crisis. We extend the existing literature to explore the impacts of multiple agency sovereign rating changes on the realized volatility of foreign...

This chapter investigates the determinants of the volatility of spread in the over-the-counter foreign exchange market and examines whether the relationships differ in the crisis periods. We compute the measures for the volatility of liquidity by using bid-ask spread data sampled at a high...

Purpose This paper aims to investigate Chinese bull and bear markets. The Chinese stock market has experienced a long period of bear cycle from early 2000 until 2006, and then it fluctuated greatly until 2010. However, the cyclical behaviour of stock markets during this period is less well...

This paper presents an analysis of the relationship between trading volume and stock returns in the Australian market. We test this hypothesis by using data from a sample of firms listed on the Australian stock market for a period of 5 years from January 2001 to December 2005. We explore this...