Emission trading Scheme (ETS) is gaining momentum with its increasing market size and constantly improving information transmission mechanisms. With carbon assets becoming prominent as an alternative asset in investment portfolios, the ETS market has engaged a broad range of participants,...

Using a very large data set with more than 9,700 stocks listed on NYSE, AMEX and NASDAQ, we analyze overnight price jumps and report short-term investor overreaction to information shocks and document return reversal and predictability up to five days. For negative and positive overnight jumps,...

We investigate if and how gas price volatility can be explained on the basis of market fundamentals. We depart from the Kanamura (2009) supply and demand based volatility model. We generalize this model to account for a variety of demand and supply relationships. We investigate daily natural gas...

This paper examines how the impact of financial crises on bank earnings volatility (proxied by the volatility of return on assets) varies with bank size and market concentration. Using fixed effects panel regression analysis for more than 1800 banks from OECD and non-OECD economies for the...

Several Asia-Pacific financial markets impose price limits to reduce excessive fluctuations. We examine stock price behavior following daily limit moves on the Shanghai Stock Exchange for 200 firms in the period 1997–2004. We find weak evidence for the occurrence of overreaction on the...