We assess the impact of accession to the World Trade Organization (WTO) and stock ownership deregulation on the presence of anomalies in stock returns in China. We partition our data into sub-periods that mirror WTO accession and Investor-Base Expansion (IBE) in all share markets. Unlike prior...

This paper examines the reactions of investors to the arrival of unexpected information in five major US equity markets from 1990 to 2001, a period characterized by high daily trading volume and the increasing presence of noise-traders. Market surprises are identified using a strictly...

This study uses a nonparametric frontier approach to examine the effects of the ownership on the efficiency, efficiency change, technological progress and productivity growth of the Indian banking industry over the period 1998 to 2003. A host of best practice frontiers are constructed relative...

China has recently taken substantial steps to reform its banking sector, particularly after joining the World Trade Organization (WTO) in December 2001. This study examines the effect of recent banking reforms and WTO accession on the cost efficiency of Chinese banking and the efficiency...

This study investigates the January effect in US equity markets using three market indexes from 1964-1998: Dow Jones Composite, NYSE Composite and the SP500. Chow tests for structural stability indicate that the estimated parameters in an equation testing for monthly seasonal effects in the...

This article examines the relative influence of the US, UK and Japan on Middle Eastern Emerging Markets (MEEMs). The empirical results, from maximum likelihood regressions, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models and Vector Autoregression (VAR) estimates, provide...