On March 11, 2011, a large earthquake that occurred offshore the north-east coast of Japan generated a large tsunami which devastated extensive areas of the Tohoku coastline. Despite Japan being considered a country well prepared for these types of disasters, large casualties were recorded, with...

Vietnam has achieved high economic growth and poverty reduction over the last two decades. However the country has experienced economic slowdown in recent years. GDP growth rate within the period of 2009-2012 was about 5 percent, which is considerably lower than the previous periods’ growth...

We assess investors' reaction to new information arrivals in financial markets by examining the relationships between trading volume and the higher moments of returns in 18 international equity and currency markets. Our volume-volatility results support extant information theories and further...

We develop a framework that allows a multivariate system of long memory processes to be conditional on specific regimes to investigate the effects of credit rating agencies' (CRAs) sovereign credit re-ratings on European stock and currency return distributions over the period from 1996 to 2012....

We develop a generalized impulse response function for the fractionally integrated vector autoregressive (FIVAR) model using the Pesaran and Shin (1998) approach. Our method is different from the methodology shown in Chung (2001) since it does not require us to orthogonalize the error vector...

To examine the long-run and short-run multipliers of fiscal policy in China, simple models with some basic characteristics of the Chinese economy are developed and then estimated using cointegration and error correction approaches. Empirical results confirm some similarities between the Chinese...

In this research, we employ three two-parameter Archimedean copulas (BB1, BB4 and BB7) to investigate the dynamic asymmetric tail dependences between two of three Asian developed futures markets, Hong Kong, Japan and Singapore, during the post-Asian financial crisis period. We first model the...

This paper employs a time-varying framework to examine the informational efficiency of China's A-share and B-share markets, with a focus placed on the following issues: changing weak-form efficiency, the leverage effect, and information transmission in return volatility. We find that the A-share...