We empirically test the valuation effects of European M&A announcements on rivals within the target's country (intra-industry effects) and on other European rivals (inter-country effects), for the period of 1996 to 1999. We find evidence of inter-country effects that has not previously been...

The objective of this study is to determine the dynamics and contemporaneous interactions of Euro stock markets at the country and economic sector level. Overall test results have revealed the time-varying nature of the financial market integration process. Promoted by the anticipation and...

This paper analyses the return behaviour of German stocks following a wave of 10- for-1 stock splits. The splits were triggered by a legislative initiative (KmfG), designed to enhance the attractiveness of the German stock market. To avoid any size effects, the sample of 40 firms that executed a...

Weak-form efficiency in the stock markets of the Gulf Cooperation Council is examined using daily, weekly, and monthly index data for the 10-year period 2000-2009. Various variance ratio test specifications with specific homo- and heteroscedasticity assumptions found evidence of nonlinear...

We estimate a cross-sectional time-series model to assess the impact of equity market liberalization and capital account openness on individual-firm stock return volatility in GCC (Gulf Cooperation Council) markets. We document evidence that international participation in local trades has no...

We investigate the pricing of idiosyncratic volatility of seven frontier markets in six GCC countries. We find a significant (marginal) negative relationship between expected returns and lagged idiosyncratic volatility for individual stocks in Saudi Arabia (Qatar) but none in Kuwait and Abu...

This paper analyzes daily market index and company level stock return data across the Gulf Cooperation Council (GCC) region in search of calendar effects well documented in many international stock markets. The presence of day-of-the-week anomalies suggests the existence of a global phenomenon....

This paper analyses whether it is possible to perform an event study on a small stock exchange with thinly trade stocks. The main conclusion is that event studies can be performed provided that certain adjustments are made. First, a minimum of 25 events appears necessary to obtain acceptable...