Using a large panel of firms across the world from 1991-2006, we show that the median foreign firm has lower idiosyncratic risk than a comparable U.S. firm. Country characteristics help explain variation in the level of idiosyncratic risk, but less so than firm characteristics. Idiosyncratic...

This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...

This paper is a study of the spillover effects of U.S. macroeconomic news on different sectors of the Australian stock market. We find that an indication of economic contraction from the United States raises the conditional mean, and most news elicits associated volatility in the Australian...

Research in real estate finance and economics has been dealing with the topic of efficiency in the U.S. housing market for over 25 years. However, most recent research either examines local markets based on single homes or focuses on the Conventional Mortgage Home Price Indices (CMPHI) and...

This paper uses recently released official data on the foreign exchange market interventions of the Bank of Japan (BoJ) in the yen/U.S. dollar market during the period 1991-2001 in order to examine the motivation for the intervention policy of the BoJ. We also compare the intervention policy of...

China has become the world's biggest consumer of gold in recent years. After only several years of operation, the Chinese gold futures market is now one of the largest globally. This paper studies the price discovery process for the Chinese gold markets. Since the financial crisis in 2007, gold...

We examine stock index futures and Treasury futures around the release time of 30 U.S. macroeconomic announcements. Nine of the 20 announcements that move markets show evidence of substantial informed trading before the official release time. Prices begin to move in the “correct” direction...

This paper analyzes return spillovers from the US to stock markets in Asia by means of quantile regressions. Traditional studies consider spillovers as effects of the conditional means of foreign returns onto the conditional means of chronologically succeeding domestic markets' returns. We, by...

The paper presents an empirical investigation of the intraday minute by minute relationship between the U.S. S&P 500 Index Futures and the three major European stock indexes (CAC 40, DAX-100, and FTSE 100). Data analysis shows that the well established positive correlation between futures and...