<title>Abstract</title> <italic>We investigate the impact of after-hours trading on magnitude and timing of price discovery over the close-to-close period on the world's largest carbon trading platform, the European Climate Exchange (ECX). Low-volume trading in carbon financial instruments can lead to relatively high...</italic>

We model 73.62 million London Stock Exchange (LSE) trades and show that the LSE's high rate of failure to open at the opening auction only relates to low volume stocks. Low volume stock traders avoid trading until the open; this seems connected to their evading the informed trading-dominated...

We investigate factors influencing country-level renewable energy growth by applying FEVD and PCSE estimation methods in a unique sample analysis. With a longer time series (1990–2010) and a broader sample size of countries (including Brazil, Russia, India, China and South Africa) than...

In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK stock market over the time period of 1980-2000. This is undertaken by extending the VAR approach proposed by Campbell and Shiller (1988a) to incorporate the bid-ask spread. Overall the statistical...

In this paper we examine the stock price effect of changes in the composition of the FTSE 100 over the time period of 1984-2001. Like the S&P 500 listing studies, we find that the price and trading volume of newly listed firms increases. The evidence is consistent with the information...

US asset prices are modelled in the short- and long-run with the use of a seemingly unrelated system using monthly data over the time period, 1983-2004. Once the shocks of 1987, 1997 and post-"9·11" have been accounted for, then volatility only affects the consumption and inflation equations....

In this article, we carry out unit root tests on real exchange rates recursively as in Caporale et al. (2003), but, following Arghyrou and Gregoriou (2007), we adjust the residuals for non-normality and heteroscedasticity using a wild bootstrap method. The results are striking: this correction...

In this paper we examine the price impact of block trades for FTSE 100 firms over the time period 1998-2004. Resembling previous research we find evidence of an asymmetric price impact between block purchases and sales. We suggest that bid-ask bias may be a new conjecture to the asymmetry in the...

We analyse the relationships between return calculation methods, risk and observation periods. We show that the mean of a return set calculated using logarithmic returns is less than the mean calculated using simple returns by an amount related to the variance of the set. This implies that there...

The Black–Scholes (BS; F. Black & M. Scholes, 1973) option pricing model, and modern parametric option pricing models in general, assume that a single unique price for the underlying instrument exists, and that it is the mid‐ (the average of the ask and the bid) price. In this article the...