We examine the distribution characteristics of stock market liquidity by employing the generalized additive models for location, scale and shape (GAMLSS) model and three-minute frequency data from Chinese stock markets. We find that the BCPE distribution within the GAMLSS framework fits the...

This paper investigates the determinants of liquidity by utilizing the Graphical Reversible-Jump-MCMC algorithm (G-RJMCMC-VS) of Lunn et al. (2009) and employing the data of individual stocks sorted by scale from Shanghai Stock Exchange and Shenzhen Stock Exchange in China. The empirical results...

This paper examines the impact of uncertainty on estimated response of stock returns to U.S. monetary policy surprise. This is motivated by the Lucas island model which suggests an inverse relationship between the effectiveness of a policy and the level of uncertainty in the economy. Using high...

In this paper, we estimate the time-varying response of foreign stock markets to U.S. monetary policy shocks derived from the high-frequency Federal funds futures market. Our results show significant time-variation in the response of the global equity markets to U.S. monetary policy surprises,...

This paper discusses how contingent convertible bonds (CCB) influence the risk-taking behaviour of managers. A methodology to measure the impact is presented. The results show that the decision of issuing CCB to finance company assets sets incentives to managers to increase risk, if it is not...

We present ac susceptibility measurements performed on (K, Ba)BiO<Subscript>3</Subscript>single crystals with different geometries: thick films, bars and hollow cylinders. We show that the h <Subscript>ac</Subscript> dependence of the real (χ′) and imaginary (χ′) parts of the ac susceptibility is in very good agreement with Brandt’s...</subscript></subscript>

The surface of La1/3Ca2/3MnO3 (LCMO) films with thickness, t, ranging from 4 to 150 nm has been studied. Highly ordered palpus-like crystals induced by strain are observed in the films grown on the substrate of SrTiO3 (with thickness t ranging from 20 to 50 nm) and on sapphire (with thickness t...

Effects of Si3N4 passivation layer on the lattice strain of Al0.22Ga0.78N layer with the thickness of 100 nm has been studied by in situ X-ray diffraction by the temperature range of 25°C–550°C. Results show that the temperature dependence of the strain relaxations can be separated into...

Oil-related events have increased the uncertainty and complexity of the worldwide oil market. This paper investigates the effects of four types of oil-related events on world oil prices, using an event study methodology and an AR-GARCH model. The Internet information concerning these events,...