The frequency of financial market turmoil has been rising over the past two decades. While the incidence of market turmoil has increased, the performance of analysts during tumultuous times has not received much attention in the literature. This paper examines whether the accuracy of analyst...

Previous studies on technical analysis mostly report the profitability of specific trading rules for a given set of historical data. In this paper, we use the human trader experiment approach to compare the performance of experienced and novice traders. It is found that traders who are more...

This note examines how the network externalities of communications activities and trading opportunities interact to determine the structure of comparative advantage between countries. These interactions are obtained by constructing a two-country, two-sector model of trade involving a...

This note examines how the network externalities of communications activities and trading opportunities interact to determine the structure of comparative advantage between countries. These interactions are obtained by constructing a two-country, two-sector model of trade involving a...

In the literature, there is a lack of empirical studies documenting the profitability of volume-based technical indicators. This paper evaluates the profitability of the On-Balance Volume (OBV) trading rule. Our result shows that the OBV trading rule is increasingly profitable and rewards...

We study the effects of ARCH errors on the performance of the commonly used lag length selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive lag length, even in the presence of ARCH errors. Thus,...

Most of the existing autoregressive models presume that the observations are perfectly measured. In empirical studies, the variable of interest is unavoidably measured with various kinds of errors. Thus, misleading conclusions may be yielded due to the inconsistency of the parameter estimates...

Conventional two-sided matching game is a one-period game. In this note, we contribute to the existing literature by examining a multi-period two-sided matching problem allowing for the possibility of a divorce. We assume that the matching game is played repeatedly and the payoff matrix changes...

Consider a simple change-point model with a binary regressor. We examine the consistency of the change-point estimator when the regressor is subject to misclassification. It is found that the time of change can always be identified. Further, special cases where the structural parameters can also...

We study the effects of ARCH errors on the performance of the commonly used lag length selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive lag length, even in the presence of ARCH errors. Thus,...