In this paper, we show that the way in which fund managers are compensated can, under plausible conditions, lead them to act in a way that does not maximise the wellbeing of their clients. Due to performance bonuses in fund managers' rewards, there is a highly non-linear relationship between the...

Can a short-squeeze incident trigger financial contagion over the entire stock markets? The recent GameStop frenzy provides a unique natural experiment to explore this question. In this study, we examine the static and dynamic return and volatility connectedness among the GameStop stock, the...

The capital markets are sensitive to geopolitical events. It is important to provide evidence of reactions to specific geopolitical events in order to identify general patterns and effective risk management strategies. This study follows the event study approach to assess the reactions of...

Exchange-traded fund (ETF) trading volumes have increased over the last decade and so have ETF settlement failures at the clearing corporation. We test the hypothesis that ETF short selling, high stock borrow prices, and options contract expiration contribute to ETF fails-to-deliver (FTDs). We...

We investigate the impact on firms of joining the S&P 500 index from 1997 to 2017. We find that the positive announcement effect on the stock price of index inclusion has disappeared and the long-run impact of index inclusion has become negative. Inclusion worsens stock price informativeness and...

For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs) and the DAX index from the perspective of long-term investors. The newly introduced methodology provides the opportunity to continuously identify long-term costs of passively...

In this study, we examined the fractal structure of the Nikkei225, HangSeng, Shanghai Stock Exchange and Straits Times Index of Singapore. Empirical analysis was performed via non-parametric, semi-parametric long memory tests and also fractal dimension calculations. In order to avoid spurious...

The Efficient Market Hypothesis is one of the most popular subjects in the empirical finance literature. Previous studies in the stock markets, which are mostly based on fixed time price variations, do not provide conclusive findings, in which evidence of short-term predictability varies...

This paper investigates the direction of information flow between world stock markets during the recent financial crisis by conducting Granger causality tests in a three variables system. We employ daily rates of return for three representative stock market indices: S&P 500 for the US, BET-C for...

Research on the predictability of short-horizon returns in developed markets has shown that daily, weekly and monthly returns are predictable from past returns, and that the predictable variation is a small part of variance of returns. In order to provide evidence from an emerging stock market,...