There has been an extraordinary decrease in order execution time on stock exchanges in the past two decades. A related question is whether there has been a similar reduction in orders of magnitude for the lengths of the lead lag time between stocks. If the answer is affirmative, and the lengths...

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional...

In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and price indices of pairs of countries, as well as their bilateral nominal exchange rate. Then, we show that under certain long-run restrictions, our approach encompasses a large...

This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the "Average Crossing Time" or ACT. We argue that the ACT...

This paper compares the impact of market multiples on stock returns between emerging (ASEAN) and developed (European) financial markets. A t-test, fixed effects, and GMM are applied to a sample of 4725 firms for fifteen years. The findings show that market multiples differ across emerging and...

The purpose of this paper is to determine a practical approach of calculation of the systematic risk of companies in line with the CAPM model. By performing an analysis of the methodology used in practice of determining the beta and review of the literature on the subject the accounting rules...