This paper explores the influence of monetary policies, US influences, and other factors affecting stock prices in Japan from the beginning of the 1980s. The data set consists of monthly time series, largely taken from the Federal Bank of St. Louis (FRED) database in the USA. A variety of...

The paper features an analysis of cryptocurrencies and the impact of the COVID- 19 pandemic on their effectiveness as a portfolio diversification tool. It does so by exploring the correlations between the continuously compounded returns on Bitcoin, Ethereum and the S&P500 Index, using a variety...

This paper features a statistical analysis of the independence of the core Fama/French factors; SMB and HML, using daily data, of the factor return series, for the USA, Developed Markets and Japan, using a sample taken from the data-sets that are available on French's website. The various series...

This article investigates the performance of affine option pricing models in the context of the Australian Standard & Poor's (S&P)/Australian Stock Exchange (ASX) 200 index option market. This investigation is done through the implicit estimation of the risk neutral parameters of affine option...

Purpose ? This paper aims to examine mutual fund investors' response to mergers of Australian mutual fund companies. Design/methodology/approach ? Two matching-control techniques are employed to analyse the impact of mergers on excess money in and out of open and closed funds involved in the...

In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...

Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and...