In a market where imperfect competition occurs as a result of mergers, this study proposes a framework consisting of both efficiency and risk analyses that allow the simulation of pro forma mergers and hence the determination of the optimal number of firms in the industry. This is valuable...

This study uses a Markov-switching technique to identify the volatility state of international stock markets. Further, we consider four possible state combinations of the individual and world stock markets to examine an interesting issue regarding the relationship between international...

The purposes of this article are to reinvestigate how returns of major American depository receipts (ADRs) from different countries are related to the underlying stock returns and to identify the determinants of ADR risk premiums. We use different types of error-correcting terms in vector error...

This study represents one of the first papers in stock-index-futures arbitrage literature to investigate the effects of arbitrage threshold on stock index futures hedging effectiveness by using threshold vector error correction model (hereafter threshold VECM). Moreover, in contrast to prior...

As a response to the growing concern on the interconnection of international stock markets, this study uses the Pena-Box model to capture time-varying relationship of the returns of 13 stock indices during 1993-2002. The results indicate a dynamic relationship of world major stock markets over...