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Trading volume, bid–ask spread, and price volatility in futures markets
In this study, we examined the relations between trading volume, bid–ask spread, and price volatility on four financial and metal futures. Hausman’s (1978) tests of specification confirmed that… Expand
Trading volume and transaction costs in futures markets
Are the U.S. Stock Market and Credit Default Swap Market Related?
This article examines the market-wide relations between the U.S. stock market and the credit default swap (CDS) market for the period 2001–2007. Results indicate that the lead-lag relationship… Expand
Global Hedge Funds: Risk, Return, and Market Timing
We examined the performance of 115 global equity-based hedge funds with reference to their target geographical markets in the seven-year period 1994–2000. Several results are noteworthy. First,… Expand
THE UNDERPRICING OF IPOS OF FINANCIAL INSTITUTIONS
This paper examines the underpricing of IPOs of financial institutions over the period 1983 to 1987. Based on a sample of 185 banks and savings and loan associations (including S&L conversions) and a… Expand
Do credit default swaps predict currency values?
Using daily data of four currencies (Japanese Yen (JPY), Euro (EUR), British Pound (GBP) and Australian Dollar (AUD)) in terms of the US Dollar (USD), and JPY, USD, GBP and AUD in terms of the EUR… Expand
Reported trade figure discrepancy, regulatory arbitrage, and round-tripping: Evidence from the China–Hong Kong trade data
This study uses reported trade figures from China and Hong Kong to examine the relationships among market impediments, trade figure irregularities, and tax-induced regulatory arbitrage. The empirical… Expand
A time series approach to testing for market linkage: Unit root and cointegration tests