This study decomposes the unconditional stock return volatility into two categories: systematic versus idiosyncratic risk, to re-examine the link between size and risk in the banking industry. The feasibility of the model is tested using data for US banks from 1998 to 2007. The evidence...

In this paper, we examine the trading activity and return volatility pattern before and after splits. Unlike previous studies, we employ high-frequency transaction data and more powerful asymptotical tests on the impact of split on volatility. Furthermore, we examine the relationship between...

This study examines the dynamics of the interrelation between option and stock markets using the Markov-switching vector error correction model. Specifically, we calculate the implied stock prices from the Black-Scholes 6 model and establish a statistic framework in which the parameter of the...