We show that the behaviour of the real exchange rates of the UK, Germany, France and Japan has been characterized by structural breaks, which changed the adjustment mechanism. In the context of a Time-Varying Smooth Transition Autoregression (TV-STAR) of the kind introduced by Lundbergh et al....

The fact that stock market returns in Europe and the USA are characterised by conditional heteroscedasticity is by now well documented in a large literature. We address the question of whether the same is true of the four Chinese stock markets (Shanghai and Shenzhen A and B) over the period from...

We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even...

Purpose – The paper aims to investigate the effectiveness of the ban on short trading of stocks on the London Stock Exchange, introduced in September 2008 in the immediate aftermath of the collapse of Lehman Brothers. In particular, the paper investigates how far the ban succeeded in achieving...

This article stresses the importance of investment to the firm and the economy. The author argues that the level of investment is largely determined by the balance between the expected rate of return and the cost of capital.

Purpose – The paper aims to investigate the effectiveness of the ban on short trading of stocks on the London Stock Exchange, introduced in September 2008 in the immediate aftermath of the collapse of Lehman Brothers. In particular, the paper investigates how far the ban succeeded in achieving...