This investigation provides evidence and identifies two important structural changes in the risk characteristics of real estate investment trusts (REITs), namely, the 1993 tax reform and the inclusion of REITs in the mainstream S&P indices in 2001. Using daily data from 1989 to 2008, this study...

A tradeoff between forecast accuracy and the length of an estimation period always exists in forecasting. Longer estimation periods are argued to be less efficient, however, using the forecast encompassing and accuracy test, this study discusses the importance of considering the overall...

This paper investigates the impact of CSRC allowing domestic residents to invest in the B-share stock market. An ARJI model is used to analyse the jump dynamics process during the pre- and post-event periods and impulse response functions are employed to demonstrate the volatility transmissions...

This article investigates the relationship between foreign investors' trading behaviour and political election events in South Korea and the effect of the relationship on the financial markets via a bivariate GARCH (1,1) model analysis. The empirical results show that the KOSPI 200 index return...

This study takes into account two important features found in most time series, namely, nonlinearity and structural instability, in the test of the Sharpe--Lintner CAPM. Using data on BM- and size-sorted quintile portfolios, we implement the multiple structural change approach of Bai and Perron...

Because relatively few studies have examined the behavior among different types of traders in the options market, this investigation conducts an empirical study examining the impact of trader type on price volatility in the TXO market. It has been more than 10 years since the TXO market started...

<title>Abstract</title> This study explores the impacts of bank's diversified operations on their loans, the threshold effect of bank's derivatives trading and the impacts on their financial behaviors are investigated. The results show that there are two separate regime effects for banks in large-sized and...