This paper examines autocorrelation and cross-autocorrelation patterns for selected Asian stock returns. Special attention is given to examination of Asian stock returns and the impact on them of the past information. By employing a class of asymmetric specification of conditional mean and...

This study examines the effects of social, financial, and human capital on the financial performance (i.e., Tobin's q) of Taiwanese firms in 2007. We find that social capital, as measured by total lending and borrowing among related-party transactions, has a positive effect on a firm's value....

This article examined the interaction between stock price and exchange rate and explored their dynamic correlation influenced by the stock market volatility. We used newly developed Smooth Transition Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity (STCC-GARCH)...

This paper constructs a multivariate model in relating multi-asset excess returns to their conditional variances. Applying weekly data to investigate the foreign-exchange risk premium, the evidence from a multivariate GARCH model shows that the foreign-exchange excess returns are significantly...

In this study, we apply a more refined statistical procedure to test the dependencies and direction of inter-day spillover effects between the ADRs and their underlying shares on two nonsynchronous international markets. The empirical results provide evidence of contemporaneous return and...