Showing papers in "Journal of International Financial Markets, Institutions and Money in 2008"

TL;DR: The authors examined the effect of bank-specific, industry-specific and macroeconomic determinants of bank profitability, using an empirical framework that incorporates the traditional structureconduct-performance (SCP) hypothesis.

TL;DR: In this article, a panel of 186 European banks is used for the period 1992-2004 to determine if banking behaviors induced by the capital adequacy constraint and the provisioning system, amplify credit fluctuations.

TL;DR: In this paper, the authors investigated informational efficiency in relation to its theoretical underpinnings in a set of seven emerging Middle-Eastern North African (MENA) stock markets and analyzed the impact of market development, corporate governance and economic liberalization on the latter using a multinomial ordered logistic regression.

TL;DR: In this paper, the authors employed monthly realized moments for stock market returns for the US, the UK, Germany and Japan to assess the linkages holding across moments and markets over the period 1973-2004.

TL;DR: In this paper, a stochastic frontier approach, incorporating firm-specific and country-related variables, indicates a generally low level of cost efficiency, with significant inefficiency differences among countries.

TL;DR: In this paper, a vector autoregression (VAR) is employed to assess the extent to which macroeconomic shocks affect the banking sector (first round effect) and disentangle the feedback effects from the financial system to the real side of the economy.

TL;DR: Wang et al. as discussed by the authors used daily survey data on Chinese institutional investors' forecasts to measure investors' sentiment and found that share prices and investor sentiment do not have a long-run relation; however, in the short-run, the mood of investors follows a positive-feedback process.

TL;DR: In this article, the authors examine the relation between pre-offering demand and aftermarket performance of IPO firms in the Hong Kong stock market and find that IPOs with high investor demand realize large positive initial returns but negative long-run excess returns, while IPO with low investor demand realise negative initial return but positive long run excess returns.

TL;DR: In this article, the weak-form efficiency of 10 Asian emerging stock markets was examined using a battery of nonlinearity tests, and the statistical results reveal that all the returns series still contain predictable nonlinearities even after removing linear serial correlation from the data.

TL;DR: In this article, the authors adopt a novel FIVECM-BEKK GARCH approach to examine the bilateral relationships among the A-share and B-share stock markets in China and the Hong Kong stock market.

TL;DR: The authors examined the market prices of American Depository Receipts and the foreign stocks (8 from Australia, 7 from England, and 8 from Japan) upon which they are based and found no significant differences between the prices of these two identifical types of claims, and thus no obvious arbitrage opportunities exist between the international capital markets encompassed by this study.

TL;DR: In this paper, the authors investigated inter-day and intra-day volatility models for three European equity indices and showed a consistent relation between the examined models and the specific purpose of volatility forecasts.

TL;DR: In this article, the authors investigated the long-term temporal dependence of volatility and volume through a systematic analysis of the long memory properties of power transformations of both series and found that the volatility process exhibits a high degree of intermittence whereas the volume dynamic appears much smoother.

TL;DR: In this article, the relation between non-performing loans (NPL) of the Brazilian banking system and macroeconomic factors, systemic risk, and banking concentration is empirically tested.

TL;DR: In this paper, the relative magnitude of the international diversification benefits for domestic investors in various countries was investigated and the constraints of short-sales, over-weighting investments, and investing region were considered.

TL;DR: In this paper, the authors used wavelets and aggregate series to test for long memory in the absolute value, squared, and log squared daily returns of the Istanbul Stock Exchange National 100 Index.

TL;DR: In this article, the authors investigate for possible intervention effects on the volatility of nominal exchange rates and the estimated equilibrium behaviour of real exchange rates. But their main argument is that omission of intervention effects when they are significant would bias the ability to detect any PPP-based behavior of the real exchange rate in the long run, and the main evidence for this argument comes from the experience of six Central and Eastern European economies, whose exchange markets are characterized by frequent interventions.

TL;DR: In this paper, the authors compare the valuation multiples assigned to the equity of Canadian firms listed exclusively in the home market with a matched sample of U.S. firms over the period 1989-2004.

TL;DR: In this article, the authors studied Iran's emerging Tehran stock market and examined the relation of current prices and volumes to future returns. But they did not find any evidence of anomalies in the short run.

TL;DR: This article examined the total population of banks in Jamaica between 1992 and 1998 and found that real GDP growth, size, and managerial efficiency were the most significant factors contributing to the failure of banks.

TL;DR: In this article, the authors investigate whether the empirical observation of the real exchange rate misalignments in five European countries over the period 1979-1999 was consistent with the hypothesis of temporary deviations from the fundamentals, or whether they must be associated with significant persistent dynamics.

TL;DR: The authors applied a range of univariate unit root tests including the Lagrangian multiplier (LM) univariate and panel unit root test to examine PPP for 16 OECD countries and found that real exchange rates are not stationary, inconsistent with PPP hypothesis.

TL;DR: In this article, an AR(1)-GARCH(1,1) model is used to calculate interval forecasts for one-step ahead returns that are then compared to realized returns to determine whether or not we are in the presence of an aberrant observation.

TL;DR: In this paper, the effects of sudden shifts in variance on large and small capitalization portfolios in the Spanish stock market were analyzed using a procedure based on the iterated cumulative sums of squares (ICSS) algorithm.

TL;DR: In this article, the authors examined the expiration day effects of the MSCI-TW stock index under different settlement procedures and showed that using an average price settlement based on a longer period would mitigate expiration day effect much better than a closing price settlement.

TL;DR: This article investigated the extent of swap curve dynamics across USD and HKD markets and found that US Treasury curve invokes significant positive responses on HKD swap curve due to the existence of the currency peg system.

TL;DR: In this paper, the authors argue that international trading costs of a fixed type can help explain home bias in international equities markets, but they only apply to costs that are proportional to trade, and not to fixed costs of entering the foreign market.

TL;DR: This paper examined the effect of bailouts on international investors' perception of default risk on international borrowing and concluded that no change in the moral hazard effect is observed for the last decade, and identified important and unexpected IMF-related events and examined the dynamics of the unexplained component of the risk premia on sovereign bonds surrounding these events.

TL;DR: In this paper, the authors examined whether IMF-related news during the Asian crisis contains information regarding the changes in sovereign bond spreads of Indonesia and Korea, and found that other countries' IMF related news increased these countries' bond spreads.

TL;DR: In this paper, the authors employ a bivariate common factor model to establish a permanent-transitory decomposition of two major stock indices (the Deutsche Aktienindex (DAX) for Germany and the Dow Jones Industrial Average (DJIA) for the United States).