This study re-examines the German dominance hypothesis in the EMS. A VAR in levels approach is adopted and modified Wald tests, which are robust to cointegration properties of the variables, are used. The findings indicate that, although Germany played a measurable role, the extent of monetary...

This paper investigates the impact of earnings news on the trading behaviour of different types of traders in Finland. The results indicate that small and large traders behave differently around the earnings announcements, small traders increasing their sell orders after negative earnings surprises.

This paper investigates alternative explanations of long-term comovements among the prices of agricultural commodity futures contracts. A long-term interdependency of these prices can exist because of common economic fundamentals or herd behaviour by market participants. An analysis of Tokyo...

In this paper we model six major foreign stock index returns as conditionally heteroscedastic processes with time dependent autocorrelation. The findings point to a significant inverse relationship between volatility and autocorrelation. This is in agreement with previous findings for the US...

Using data from the Frankfurt Stock Exchange, this paper investigates the impact of an increase in trading hours (from two to three on 15 January 1990) on the variance of stock returns. The results confirm those of most earlier studies that report that trading time volatility is significantly...