Several studies in empirical literature have examined the differences between large banks and small banks. In this study, we examine the differences in the day-of-the-week effects of stock prices of large banks as represented by the Keefe, Bruyette and Woods Index (KBW) and small banks as...

The enactment of Riegle-Neal IBBEA in 1994 encouraged bank mergers and acquisitions. Empirical evidence indicates that large banks beneÞted from IBBEA enactment. However, there is little, if any, evidence of the impact of the act on small banksÕ proÞtability relative to large banks. This...

This study examines the market quality of S&P 500 index futures in 150-day periods before and after the introduction of Standard & Poor’s Depositary Receipts, SPDRs, on January 29, 1993. In a preliminary test of structure change, results fail to reject the null hypothesis that the empirical...

Standard & Poor's Depositary Receipts (SPDRs) are exchange traded securities representing a portfolio of S&P 500 stocks. They allow investors to track the spot portfolio and better engage in index arbitrage. We tested the impact of the introduction of SPDRs on the efficiency of the S&P 500 index...

Employing annual returns generated from overlapping monthly price indexes for the G-7 stock markets, this paper examines asymmetry and common nonlinearities in long-horizon stock returns. Identifying widespread nonlinearities based on LSTAR or ESTAR models, we find that the asymmetric nonlinear...