Polarization is an interesting additional social indicator for analyzing income inequality and poverty across countries, as it captures the phenomenon of ‘clustering around extreme poles'. Rising income polarization can be harmful since it is closely linked to poverty, social exclusion, social...

A number of studies suggest that the Europeanization process has a profound impact on national labour market policies, but fairly little research has been devoted to the development of social assistance benefit schemes across countries and over time. Relying on two new indicators, benefit levels...

The underlying stochastic processes that drive returns in several emerging bond and stock markets are investigated using the pure diffusion, the jump diffusion, the ARCH pure diffusion, and the ARCH jump diffusion models. The results indicate that jump diffusion models fit the data better than...

We define decreasing higher-degree Ross risk aversion and provide an intuitive interpretation for it. We show that all deteriorations of background risk in the sense of n-th risk increase raise risk aversion in the Arrow-Pratt sense if and only if decreasing (n 1)-th degree Ross risk aversion...

The weighted price contribution (WPC) is a popular measure for price discovery. This paper examines the theoretical properties and empirical performance of the WPC. The benchmark measure for the WPC is the information share (IS) based on the variation of the efficient price. We derive the...

In this study, we investigate the return enhancement ability of style momentum strategy: a strategy that switches between value and growth styles based on previous performance. We explore the variation in abnormal returns of long-only and long-short momentum strategies using various style based...

This paper proposes a measure for the level of internationalization of a currency. It is based on the relative share of price discovery, termed the information share, in overnight offshore markets. I show that the overnight offshore markets play an increasingly important role in determining the...

We consider the stochastic control model with finite time horizon for a mixed duopoly R&D (Research and Development) race between the profit-maximizing private firm and welfare maximizing public firm. In our two-firm stochastic control R&D race model, the stochastic control variable is taken to...

Under semi-strong market efficiency future returns are unpredictable from previously released information. We test the degree of semi-strong form market efficiency in the credit default swap (CDS) market by examining the relationship between subsequent CDS returns and previously announced...

From January 2002 to August 2007, foreign institutions held almost 70% of the free-float value of the Indonesian equity market, or 41% of the total market capitalization. Over the same period, liquidity on the Jakarta Stock Exchange improved substantially with the average bid-ask spread more...