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Abstract:
This short note examines common failures of individual equity investors via the metaphor of the 7 deadly sins of Christian theology. The note appeared in 7 parts in the Sunday Independent, the largest selling newspaper in Ireland, in the April-May 2006 period.

investing

Abstract:
Is gold a hedge against sudden changes in stock and bond returns, or does it instead have a subtly different property, that of being a safe haven? This paper addresses these two interlinked questions. A safe haven is defined as a security that is uncorrelated with stocks and bonds in case of a market crash. This is counterpoised against a hedge, defined as a security that is uncorrelated with stocks or bonds on average. We study constant and time-varying relationships between stocks, bonds and gold in order to investigate the existence of a hedge and a safe haven. The empirical analysis examines US, UK and German stock and bond returns and their relationship with gold returns. We find that gold is a hedge against stocks on average and a safe haven in extreme stock market conditions. This finding suggests that the existence of a safe haven enhances the stability and resiliency of financial markets since it reduces investors' losses at times when a reduction is needed the most. A portfolio analysis further shows that the safe haven property is extremely short-lived so that an investor buying gold one day after a shock loses money.

safe haven, hedge, hedging, gold, portfolio, stock market, bond market, stock-bond relationship

Abstract:
This paper surveys the research on the influence of investor feelings on equity pricing, and also develops a theoretical basis with which to understand the emerging findings of this area. The theoretical basis is developed by reference to research in the fields of economic psychology and decision-making. Recent advancements in understanding how feelings affect the general decision-making of individuals, especially under conditions of risk and uncertainty (e.g. Loewenstein et al., 2001), are covered by the review. The theoretical basis is applied to analyse the existing research on investor feelings (e.g. Kamstra, Kramer and Levi, 2000; Hirshleifer and Shumway, 2003). This research can be broadly described as investigating whether variations in feelings that are widely experienced by people influence investor decision-making and, consequently, lead to predictable patterns in equity pricing. The paper concludes by suggesting a number of directions for future empirical and theoretical research.

Emotions, decision-making, investment, misattribution, image

Abstract:
This paper surveys the research on the influence of investor feelings on equity pricing, and also develops a theoretical basis with which to understand the emerging findings of this area. The theoretical basis is developed by reference to research in the fields of economic psychology and decision-making. Recent advancements in understanding how feelings affect the general decision-making of individuals, especially under conditions of risk and uncertainty (e.g. Loewenstein et al., 2001), are covered by the review. The theoretical basis is applied to analyse the existing research on investor feelings (e.g. Kamstra, Kramer and Levi, 2000; Hirshleifer and Shumway, 2003). This research can be broadly described as investigating whether variations in feelings that are widely experienced by people influence investor decision-making and, consequently, lead to predictable patterns in equity pricing. The paper concludes by suggesting a number of directions for future empirical and theoretical research.

emotions, decision-making, investment, misattribution, image

Abstract:
This paper presents an empirical description of the capital structures of a sample of 299 Irish small and medium sized enterprises (SMEs hereafter). The sources of finance used by respondents are delineated by internal and external sources and viewed through a life cycle model. Recognising the financial intertwining of owners and their businesses, a description of the means of collateral provided to secure debt financing is also viewed through a life cycle model. The pecking order theory and life cycle model are reviewed to formulate testable hypotheses concerning the use of short term and long term debt, and internal and external equity by respondents. Multivariate regression results indicate relationships between determinants identified in previous studies, namely, age, size, ownership structure, sector and growth opportunities and the use of long term debt, external equity and internal equity. Relationships are also found between age, size, sector and growth opportunities and the means of collateral used to secure debt financing. In seeking to provide a more holistic explanation for observed capital structures, this paper reports SME owners' attitudes towards and perception of sources of finance. Predictions of the pecking order theory seem to explain the financing choices of SMEs, although there are sectoral differences. The underlying justification for this theory in our context is twofold: the respondents' desire for independence and control, and the perceived lack of information asymmetries in debt markets.

Capital Structure, SME, Ireland

Abstract:
This paper examines the optimal allocation of assets in well diversified equity based portfolio where the investor is concerned not only with mean and variance but also with the skewness of the returns. Beginning with an analysis of the rationale for concerning with skewness, the paper then discusses previous attempts to model multi-objective portfolio problems. The second part of the paper outlines the attractive nature of the gold asset in equity portfolios. The paper then integrates the two elements, showing the changes in portfolio composition that arise when not only skewness but gold are concerned.

Portfolio allocation, skewness, gold

Abstract:
This paper examines the optimal allocation of assets in well diversified equity based portfolio where the investor is concerned not only with mean and variance but also with the skewness of the returns. Beginning with an analysis of the rationale for concerning with skewness, the paper then discusses previous attempts to model multi-objective portfolio problems. The second part of the paper outlines the attractive nature of the gold asset in equity portfolios. The paper then integrates the two elements, showing the changes in portfolio composition that arise when not only skewness but gold are concerned.

Portfolio Allocation, Skewness, Gold

Abstract:
This paper presents an empirical examination of firm characteristic determinants of the capital structure of a sample of 299 Irish small and medium sized firms (SMEs hereafter). Hypotheses are formulated from pecking order and agency theories incorporating a financial growth life cycle approach, and are tested on a number of multivariate regression models. The results suggest that age, size, level of intangible activity, ownership structure and the provision of collateral are important determinants of the capital structure in SMEs. A generalisation of Zellner's (1962) Seemingly Unrelated Regression approach (SUR hereafter) is used to examine industry effects and to test the stability of parameter estimates across sectors. Results suggest that the influence of age, size, ownership structure and provision of collateral is constant across industry sectors, indicating the universal effect of information asymmetries. Surmounting these information asymmetries is influenced by differences in asset structure across sectors, resulting in diverse sectoral financing choices.

Capital structure, SME, Zellner's SUR Model

Abstract:
We investigate the volatility structure of gold, trading as a futures contract on the Chicago Board of Trade (CBOT) using intraday (high frequency) data from January 1999 to December 2005. Apart from investigating the now familiar GARCH properties we also utilize a rarely used measure of volatility - the Garman Klass estimator - to provide new insights in intraday and interday volatility. This nonparametric measure incorporates the open, close, high and low price within a particular time interval. Both sets of results suggest significant variation across the trading day and week consistent with microstructure theories, although volatility is only slightly positively correlated with volume when measured by tick-count.

Gold, volatility, intraday, GARCH

Abstract:
We investigate whether there exists a relationship between eight proxy variables for investor mood (based on the weather, biorhythms, and beliefs) and daily Irish stock returns over the period 1988 to 2001. Our study is motivated by recent research which argues that people's decisions are influenced by their feelings, especially when the decision involves risk and uncertainty (e.g. Loewenstein et al., 2001). We find that some of the variables proposed in the literature (rain and time changes around daylight savings) are minor but significant influences. We also find preliminary evidence for the relationship between mood proxy variables and equity returns being more pronounced in times of positive recent market performance. This finding is consistent with psychological research showing that people in a good mood (in this case, because of presumed gains in their investment portfolios) are more likely to allow irrelevant mood factors to influence their decision-making (e.g. Mackie and Worth, 1991).

Weather effect, market efficiency, mood, anomaly

Abstract:
We investigate whether there exists a relationship between eight proxy variables for investor mood (based on the weather, biorhythms, and beliefs) and daily Irish stock returns over the period 1988 to 2001. Our study is motivated by recent research which argues that people's decisions are influenced by their feelings, especially when the decision involves risk and uncertainty (e.g. Loewenstein et al., 2001). We find that some of the variables proposed in the literature (rain and time changes around daylight savings) are minor but significant influences. We also find preliminary evidence for the relationship between mood proxy variables and equity returns being more pronounced in times of positive recent market performance. This finding is consistent with psychological research showing that people in a good mood (in this case, because of presumed gains in their investment portfolios) are more likely to allow irrelevant mood factors to influence their decision-making (e.g. Mackie and Worth, 1991).

weather effect, market efficiency, mood, anomaly

Abstract:
The paper investigates whether the asymmetric power GARCH model (APGARCH) introduced by Ding, Granger and Engle (1993) captures the dynamics of the gold market. This paper examines both the cash and futures price of gold and significant economic variables identified during two periods: the 1987 crisis and the 2001 crisis. As specified in Ding et al. (1993) a number of ARCH and GARCH models are nested within the APGARCH model. To estimate the goodness of fit of each model, likelihood ratio tests are used. The results suggest that APGARCH model provides the most adequate description for the data. This paper is the first of its kind to undertake a significant GARCH model of the main influencers on the gold price. While further investigation is required, it has unearthed interesting results.

Gold, APGARCH

Abstract:
This paper analyzes the existence of flights from stocks to bonds and vice versa. We propose a definition and a test for flight-to-quality, flight-from-quality and cross-asset contagion and examine their characteristics and effects for the financial system. The empirical analysis for eight developed countries including the US, the UK, Germany and Japan shows that flights exist and are a common feature in many crises episodes. Our findings also reveal that flights are not merely country-specific events but occur simultaneously across countries. This indicates that there is a link between the occurrence of flights and cross-country contagion. Moreover, we show that flights enhance the resiliency of the financial markets by providing diversification benefits in times when they are needed most.

flight-to-quality, flight-from-quality, cross-asset contagion, cross-country contagion, multivariate GARCH, panel regression

Abstract:
The objective of this paper is to test for predictability in the Middle-Eastern North African (MENA) markets by investigating both the weak-form efficiency hypothesis (WFEMH) and the presence of abnormal returns. Starting with tests for the random-walk hypothesis, we use daily data returns and a battery of econometric tests including unit-root analysis, individual and multiple variance ratio, wild bootstrapping and non-parametric tests based on ranks. Our results suggest that only the region's largest markets, Israel and Turkey, follow a random walk. Turning to technical trade analysis, our results reinforce the hypothesis of stock market predictability. Both variable moving average (VMA) Both variable moving average (VMA) and trade range breaking (TRB) trade rules yield significant abnormal returns. We complete the analysis with profit simulations based on the breakeven costs computation methodology and taking into account local transaction costs. Our findings highlight the presence of significant portfolio investment opportunities in the MENA.

Middle eastern stock markets, random-walk hypothesis, variance ratio test

Abstract:
This paper examines the integration of European equity markets over 1985-2002 using a relatively new set of three dynamic techniques that measure the extent of time-varying equity market integration from complementary perspectives. All three techniques are in agreement that there has been an increased degree of integration among European equity markets especially since the 1997-98 period. This evidence shows that despite several years of demonstrating political willingness by European leaders to integrate their economies, it was not until the establishment of the EMU and the ECB during 1997-98 that the markets deemed that European integration would in fact occur. We also show that despite this increased integration, the European equity markets are still dominated by the US market and are in fact convergent towards this market rather than a common internal measure.

Market Integration, Kalman Filter, EMU, Cointegration

Abstract:
This paper looks at the distributional aspects of financial ratios drawn from a number of firms quoted on the Irish Stock exchange. It is shown that many of the fundamental assumptions that underlie traditional financial statement analysis are not present - a result that is frequently found in other countries. Data indicates that many of the ratios studied for Irish companies do not conform to these requirements either.

Nor are they normally distributed. This implies that traditional financial ratio analysis may not be a good guide to the health of the companies being analysed - account should be taken of any known violations of the theoretical model.

Ireland, Ratio Analysis, Distribution, Normality, Interpretation

Abstract:
We investigate the price spread between gold and silver trading as a futures contract on COMEX. Although the correlation between gold and silver returns during this period was high we find evidence of time varying long term dependence in the spread, with the positive dependent relationship dominant. This last finding suggests limited opportunity to profit from strategies based on mean reversion of the spread.

Long term dependence, volatility, gold silver spread, futures

Abstract:
This paper examines for the first time the existence of psychological barriers in a variety of daily and intra-day gold price series. This paper uses a number of statistical procedures and presents evidence of psychological barriers in gold prices. We document that prices in round numbers act as barriers with important effects on the conditional mean and variance of the gold price series around psychological barriers.

gold, psychological barrier, behavioural finance

Abstract:
The ability of investors to implement seasonal strategies implied by academic papers has been widely criticised, most recently by Hudson, Keasey & Littler (2002). This paper addresses these concerns, and provides an example of a strategy derived from academic papers that indicates how and to what profitability such a strategy can be implemented. In particular, we examine the pre-holiday anomaly, where returns tend to be higher on the day before a holiday. After checking that the pre-holiday return compensates market frictions, we test the existence and the changing nature of such anomaly. Finally, we assess the profitability of the pre-holiday trading strategy in an out-of-the-sample period by checking that the pre-holiday profit is clearly different from the result an investor would obtain on a set of randomly selected days. This evidence is provided for three large stocks and an index in two different markets, Spain and Ireland.

conventional approach, pre-holiday effect, academic, investor

Abstract:
The ability of investors to implement seasonal strategies implied by academic papers has been widely criticised, most recently by Hudson, Keasey & Littler (2002). This paper addresses these concerns, and provides an example of a strategy derived from academic papers that indicates how and to what profitability such a strategy can be implemented. In particular, we examine the pre-holiday anomaly, where returns tend to be higher on the day before a holiday. After checking that the pre-holiday return compensates market frictions, we test the existence and the changing nature of such anomaly. Finally, we assess the profitability of the pre-holiday trading strategy in an out-of-the-sample period by checking that the pre-holiday profit is clearly different from the result an investor would obtain on a set of randomly selected days. This evidence is provided for three large stocks and an index in two different markets, Spain and Ireland.

conventional approach, pre-holiday effect, academic, investor

Abstract:
This paper examines the conditional and unconditional mean returns and variance of returns of daily gold and silver contracts over the 1982-2002 period. Despite the importance of these metals as industrial and investment products, they have received scant attention in recent years. In particular, we focus on the issue of whether there exists detectable daily seasonality in these moments. Using COMEX cash and futures data we find that under both parametric and nonparametric analysis the evidence is weak in the issue of daily seasonality for the mean but strong for the variance. There appears to be a negative Monday effect in both gold and silver, across cash and futures markets. When the mean and variance are analyzed simultaneously in a GARCH framework we note that a leveraged GARCH model provides a best fit for the data and that in framework the Monday seasonal does not disappear, indicating that it is not a risk-related artefact, the Monday dummy in the variance equations being significant also. No evidence of an ARCH-in-Mean effect is found.

Gold, Silver, GARCH, Seasonality, Day-of-the-week

Abstract:
This paper re-examines the results of Ciner (2001), who claims that the historically stable relationship between gold and silver has broken down in the 1990's. We show, using a longer run of data, for both cash and futures, that this finding may be unwarranted. In particular we use a recursive cointegration model to extract the evolution of the relationship over a 25 year period. Our findings are that while there are periods when the relationship is weak, overall a stable relationship prevails.

Gold, Cointegration

Abstract:
In a working paper, Jacobsen and Bouman (2002) claim that the old stock market saying of "sell in May and go away but buy back on St Leger Day" produces statistically significant profit when tested on a large database of equity market returns over the last decade, three decades, and even longer periods. A recently published paper, Sullivan, Timmerman and White (2002), dismisses the claim of statistical significance of this or any other calendar-based trading rule, attributing the reported test results to a large data-mining exercise of the academic and financial communities. In this paper we provide an out-of-sample test on the Bouman & Jacobsen strategy and conclude that the reported results are indeed statistically significant. In doing so we re-introduce a reliable index of capital returns on the Irish equity market maintained contemporaneously by the Irish Central Statistical Office (and its forerunner) since January 1934 and which, in its early decades, displays markedly different statistical properties to both the US and UK equity markets of that time and equity market returns generally in recent decades.

As a subsidiary exercise we reconsider the extensive literature on monthly seasonality in equity markets with this novel index and contend that the abnormally high returns, frequently reported in January and April and occasionally in February and other months, are perhaps more accurately and certainly more parsimoniously ascribed to the half-year effect captured in the old stock market adage. The paper also discusses the extent of these calendar effects in the higher moments of the Irish index, and discusses a trading rule derived from same.

Ireland, Bayesian Analysis, Efficiency, Trading Rule

Abstract:
The objective of this paper is to study capital market integration in the MENA countries and its implications for an international portfolio investment allocation. Using four co-integration methodologies, we significantly reject the hypothesis of a stable, long run bivariate relationship and between each of these markets and the European Monetary Union, the USA, and a regional benchmark. This indicates the existence of significant diversification opportunities for the three categories of investors. A time-varying analysis based on Barari (2004) suggests that the MENA markets have recently started moving towards international financial integration. They also seem to display heterogeneous reactions to financial, economic and political events, and should therefore not be treated as a block for global allocation purposes. Finally, adjusting these scores by market capitalization highlights that Israel and Turkey are the most promising markets in the region. They are followed by Egypt, Jordan and Morocco, while Tunisia and Lebanon seem to be lagging behind.

Stock Market Integration, Portfolio Diversification, MENA markets, Time-varying methods

Abstract:
Macroeconomic conditions are known to affect risks factors and thereby influence asset returns within a given economy. We explore this link in a global setting. Given the dominant role the U.S. economy plays in the global economic environment, U.S. Macro economic shocks are expected to affect asset returns in other countries. The impact should be more pronounced in the developed economies where the U.S. is a large trading and capital-flows partner. Our results shows that residual returns and conditional volatilities in major developed economies are significantly impacted by US macroeconomic surprises. We identify U.S. macro economic shocks that have spillover impact on global asset returns over and above those transmitted through equity market returns. While return levels are significantly influenced by productivity and retail sales surprises, return conditional volatilities are mainly influenced by inflation, personal income, industrial production, leading indicators, and gross domestic product surprises.

Macroeconomic Announcements, forecasts, surprises, USA, Europe

Abstract:
In this paper, we use a set of complementary techniques to examine the time-varying level of integration of European government bond markets. We consider daily bond returns and prices over the 1998-2003 period. Strong contemporaneous and dynamic linkages are found between individual European Union (EU) markets and the German market. However, there is no such evidence for the three accession markets of the Czech Republic, Hungary and Poland. The UK's market is also considered. In general, the degree of integration for the accession markets is weak and stable, with little evidence of further deepening despite the increased political integration.

EGARCH, bond markets, EMU

Abstract:
This paper examines the financing of small and medium sized enterprises (SMEs hereafter) through a financial growth life cycle paradigm. Reporting the financing patterns of 299 Irish SMEs across six age categories, the relative importance of sources of debt and equity finance for each age category is revealed. Observed financing patterns incorporate elements of agency and pecking order theories, and emphasise the primary importance of internal equity in financing of the firm. Results suggest support for the financial growth life cycle, although contrary to conventional wisdom firms in the youngest age category report a relatively high use of debt finance. This may be explained by the provision of the personal assets of the firm owner to secure that debt.

Life cycle growth model, SME financing

Abstract:
Recent works suggest a potentially exploitable effect in US markets, the 'Halloween Indicator'. This suggests that the greater part of changes in equity markets arises over the November-April period, with little change over the summer months, simultaneous with no evident changes in the risk profiles of the two six-month periods. We re-examine this and find contradictory evidence. Over the 1926-2002 period we find rather that the effect demonstrated may well be a reflection of the well-known January anomaly. Our conclusion therefore is that the jury remains out on the existence of a semi-annual seasonality.

January Effect, Halloween Effect, USA, Market Efficiency, Seasonality

Abstract:
Recent research in behavioural finance has tested for evidence of mood misattribution influencing investor decision-making. The approach adopted is to test for a relationship between widely experienced mood proxy variables and equity returns. Variables ranging from weather, to Seasonal Affective Disorder (SAD), to sporting events, amongst other variables, have all been used in the process of these investigations. This paper conducts a comprehensive, econometrically robust, analysis of the influence of mood proxy variables across a global range of 37 equity market indices and 22 small cap indices. Our study combines key mood proxy variables tested in a range of previous papers in one study. We specifically test for SAD, Daylight Savings Time Changes, lunar, and geomagnetic effects. Only SAD appears to have any effect, worldwide.

Weather, GARCH, Behavioural Finance

Abstract:
This paper examines bias in soccer referees actions, particularly through their decisions regarding extra time added. We review the literature on principle-agent interactions, in particular as it applies to sporting contests, and isolate some potential causal mechanisms and hypotheses. We then test the derived hypotheses and find that while there some are supported indicating a certain degree of bias, this bias appears to be less than in previous studies. We also show that this is not related to the stage of the season; is not a function of the strength of teams, and appears not to be significantly related to crowd composition or support. These findings are at a degree of variance with previous research, and we buttress them with qualitative approaches, interviewing major actors in soccer and considering the role of professional formation in the two leagues as potential factors.

Soccer, Agency Theory

Abstract:
We investigate key macroeconomic factors that impact the price returns of precious metals markets over a 20 year period. The markets investigated are gold, silver, platinum and palladium; whereas the macroeconomic factors accommodated business cycle, monetary environment and financial market sentiment factors. The key findings present limited evidence that the same macroeconomic factors jointly influence the volatility processes of the precious metal price series, although there is some evidence of volatility feedback between the precious metals. This finding lends weight to views that individual commodities are too distinct to be considered a single asset class or represented by a single index; a finding of considerable importance for portfolio managers and investors.

Commodities, Gold, Macroeconomic factors, Silver, Volatility, conditional

Abstract:
The existence of daily seasonal patterns in the returns to 5 base metals traded on the London Metal Exchange (Aluminium, Copper, Zinc, Lead and Nickel) is examined, using robust methods, over the 1989-2002 period. The paper begins by examining the extent of daily seasonality in asset returns, the majority of papers on this area dealing with equities. However, there is some evidence of daily seasonality in areas other than corporate liabilities, particularly in gold. No papers have to date been published that have examined the issue in base metals. The paper then describes the operations of the London Metal Exchange, the exchange on which the metal contracts analysed here are traded. The data are cash market data on a daily frequency from January 1989 to the end of August 2002. The paper then proceeds to discuss methodological issues, pointing out the need to adjust for large sample sizes and for the distributional characteristics of the data prior to making any inferences regarding the existence or otherwise of seasonality. The roles of resampling methods, robust regressions (Least Trimmed of Squares, M-Class Estimators and Least Absolute Deviation Regression) are also discussed, as are non-parametric methods. The results indicate that daily seasonality does appear to exist in the metal markets, particularly important days being Monday and Thursday. Monday is the lowest return of the week and also negative, with Thursday being the highest (Friday being the second highest). Thus the metal market appears to show the stereotypical pattern of daily seasonality that was commonly described in the literature on the equity markets.

Metals, Robust Regression, Resampling, Seasonality

Abstract:
This is the first paper that studies the microstructure of the Irish Stock Market empirically. The motivation for our work is that on 7th of June 2000 The Irish Stock Exchange adopted themodern pan European auction trading system Xetra. Prior to this the exchange utilised an antiquated floor based system. This was an important event for the market as a rich literature exists to suggest that the trading system exerts a strong influence over the behaviour of security returns. We apply the ICSS algorithm of Inclan and Tiao (1994) to discover whether the change to the trading system caused a shift in unconditional volatility at the time Xetra was introduced. We also apply a GARCH model and test for variance changes in the period after Xetra was introduced. Because the trading mechanism can influence volatility in a number of ways we also estimate the partial adjustment coefficients of the Amihud and Mendelson (1987) model prior and subsequent to the introduction of Xetra. We find no evidence of volatility changes associated with the introduction of Xetra. However we do find evidence of an increase in adjustment speeds after the introduction of Xetra.

ICSS, Ireland, microstructure, trading system

Abstract:
The purpose of this paper is to investigate vulnerability to financial contagion in a set of expanding emerging markets of the Middle East and North Africa, during seven episodes of international financial crisis. Using Fry & Baur (2005) fixed-effect panel approach, we significantly reject the hypothesis of a joint regional contagion. However, using a battery of bivariate contagion tests based on Forbes and Rigobon (2002), Corsetti (2002), and Favero and Giavazzi (2002), we find evidence that each of the investigated markets suffered from contagion at least once out of the seven investigated crises. In conformity with the literature, our results suggest that the probability of being affected by contagion seems to increase as the MENA markets develop in size and liquidity, and become more integrated to the world's markets.

Contagion, Emerging Markets, Middle East and North Africa

Abstract:
The purpose of this paper is to investigate vulnerability to financial contagion in a set of expanding emerging markets of the Middle East and North Africa, during seven episodes of international financial crisis. Using Fry & Baur (2005) fixed-effect panel approach, we significantly reject the hypothesis of a joint regional contagion. However, using a battery of bivariate contagion tests based on Forbes and Rigobon (2002), Corsetti (2002), and Favero and Giavazzi (2002), we find evidence that each of the investigated markets suffered from contagion at least once out of the seven investigated crises. In conformity with the literature, our results suggest that the probability of being affected by contagion seems to increase as the MENA markets develop in size and liquidity, and become more integrated to the world's markets.

Emerging Markets, Contagion, Middle East and North Africa

Abstract:
The Friday the 13th anomaly of Kolb & Rodriguez (1987) is revisited in an international context. Using the FTSE world indices over 1988-200, for 19 countries, it is found that there is some evidence that returns on Friday the 13th are statistically different from, and generally greater than, returns on other Friday returns.

International, Friday the 13th, stock markets, efficiency

Abstract:
In this paper we investigate the distribution of futures market returns and volumes. A variety of contracts are selected from agriculture, foreign exchange, industrial, equity, and interest rate market sectors. Daily closing prices and volumes are used to construct two series of data representing daily and monthly returns and volumes. Tests of normality indicate that all daily returns and daily volumes are not normally distributed. Monthly returns and volumes display mixed results. Further, negative and positive excess returns are compared graphically for each contract. Nonparametric tests are then used to assess whether returns and volumes are symmetric about the mean concluding that daily returns and volumes are asymmetric. However, the results for monthly data are mixed. The Wilcoxon rank sum test suggests that although most contract returns appear asymmetric, soybean, cocoa, and 10 year US Treasury note returns are symmetric. Results for the monthly volume data are also mixed suggesting that the distributions may become more normal as the time period examined increases.

Futures Markets, Skewness, Nonparametric, Asymmetric Returns

Abstract:
The objective of this paper is to situate the MENA area within the emerging markets universe. We first discuss the various components of market emergence and generate four bootstrapped indexes reflecting market size, market activity, market pricing and transparency. We then draw inter-regional and country-level comparisons using a probit model and a hierarchical cluster analysis. Our results suggest that in spite of intra-regional heterogeneity, the MENA region ranks favorably by comparison to Latin America and Eastern Europe. We can therefore expect greater international financial integration of the MENA region in the near future.

Emerging Markets, Middle East and North Africa, Meta analysis,Common Agricultural Policy, World Trade Organizations, Trade Negotiations

Abstract:
The mixture of distributions hypothisis (MDH) suggests that trading volume of shares provides information to share prices and returns. This note examines this, for the first time, in the context of the Irish stock exchange. The evidence is mixed, and only weakly in favour of the MDH. Volume appears not to be important in explaining the volatility of the Irish market.

Volume, Ireland

Abstract:
This paper examines bilateral and multilateral cointegration properties of the German stock market and those of the three major Central European countries which recently attained membership in the European Union. Cointegration tests cover the time period of July 6, 1995 to February 10, 2005. Additional techniques are also applied to provide further information concerning the dynamic evolution of the integration process during this period. Application of the Johansen (1988) cointegration procedure indicates that, contrary to results for an earlier time period there is evidence of an emerging long-term relationship between the German and UK markets and the Czech market, as well as cointegration within the group of Central European markets. We also apply the Haldane and Hall convergence analysis, in an effort to determine the extent to which these markets are converging to London or Frankfurt. Overall, the results suggest that the process of integration of the Central European countries into the EU is leading to a closer integration of their equity markets with those of major EU countries.

Vysegrad Countries, integration, equity markets, recursive cointegration

Abstract:
Based on weekly data of the Dow Jones Country Titans, the CBT-municipal bond, spot and futures prices of commodities for the period 1992-2005, we analyze the implications for portfolio management of accounting for conditional heteroskedasticity and structural breaks in long-term volatility. In doing so, we first proceed to utilize the ICSS algorithm to detect volatility shifts, and incorporate that information into PGARCH models fitted to the returns series. At the next stage, we simulate returns series and compute a wavelet-based value at risk, which takes into consideration the investor's time horizon. We repeat the same procedure for artificial data generated from distribution functions fitted to the returns by a semi-parametric procedure, which accounts for fat tails. Our estimation results show that neglecting GARCH effects and volatility shifts may lead us to overestimate financial risk at different time horizons. In addition, we conclude that investors benefit from holding commodities as their low or even negative correlation with stock indices contribute to portfolio diversification.

volatility shifts, wavelets, value at risk

Abstract:
We examine the relationship between Russian and other Central and Eastern European equity markets over the 1995-2004 period. Using traditional Johansen and Juselius multivariate cointegration approaches and examining Impulse Response Functions from VECM's we find that the extent of the relationship differs markedly before and after the Russian crisis of 1998. However, further examination, using the Gregory-Hansen approach, indicates that the effect of the Russian crisis is more complex, and that Russian market shows significantly more evidence of integration with developed markets since, albeit the extent of interdependencies differs in case of the US and European markets. A DCC model indicates that the conditional relationship between the Russian market and the main developed markets is, as shown by the Gregory-Hansen approach, shifting.

Stock Market Integration, CEE Stock markets, Russian Stock Market, Cointegration, DCC GARCH

Abstract:
An important puzzle in international finance is the failure of the forward exchange rate to be a rational forecast of the future spot rate. It has often been suggested that this puzzle may be resolved by using better statistical procedures that correct for both non-stationarity and nonnormality in the data. We document that even after accounting for non-stationarity, nonnormality, and heteroscedasticity using parametric and non-parametric tests on data for over a quarter century, US dollar forward rates for horizons ranging from one to twelve months for the major currencies, the British pound, Japanese yen, Swiss franc, and the German mark, are generally not rational forecasts of future spot rates. These findings of non-rationality in forward exchange rates for the major currencies continue to be puzzling especially as these foreign exchange markets are some of the most liquid asset markets with very low trading costs.

Abstract:
We demonstrate for the first time the existence of a lunar cycle on precious metal returns. This appears to be more pronounced in silver than gold, with very little evidence for an effect in platinum.

lunar cycle, behavioral, gold, silver, asset pricing

Abstract:
We investigate the relationship between mood and UK equity pricing. Seven variables that are argued to proxy for mood are tested, including four weather variables (temperature, precipitation, wind speed, and geomagnetic storms), and three biorhythm variables (Seasonal Affective Disorder, Daylight Savings Time Changes, and lunar phases). Using GARCH specifications of the equity indices, and multiple constructs of each of the mood-proxy variables, we find evidence of a relationship between UK equity pricing and high temperatures and wind speed. However, the results are generally unfavourable towards a conclusion that investor mood influences aggregate UK equity pricing.

mood, market efficiency, anomaly, weather effect, Seasonal Affective Disorder

Abstract:
This paper examines the issue of the fractional dynamics in Irish stock returns. The finding of evidence of fractional dynamics indicates that a long memory process is operational in the series. The paper looks for these dynamics using the Fractional Differencing Model of Geweke and Porter-Hudak (henceforth GPH (1983)). Evidence is found of fractional dynamics and therefore long memory in a number of cases. Among the areas where long memory is found is the main market index.

Abstract:
This paper examines the relationships between the Russian and other Central European (CE) and developed countries' equity markets over the 1995-2004 period. Along with the traditional Johansen and Juselius (1990) multivariate cointegration tests, we apply novel cointegration approaches, including Gregory-Hansen (1996) test, which allows for a structural break in the relationships, as well as the newly developed stochastic cointegration test by Harris, McCabe and Leybourne (2002) and the non-parametric cointegration method of Breitung (2002). The latter tests point to a significant agreement that in the aftermath of the Russian crisis of 1998 there was an increasing degree of comovements of the Russian market with other developed markets, but not with CE developing markets. This result is further confirmed by dynamic conditional correlation modeling, which allows us to investigate graphically the evolution of comovements in the system. The results of detailed cointegration analysis suggest a. that the time-varying nature of equity markets comovements should be explicitly accounted for while modeling long run relationships b. that there is a decline in diversification benefits for foreign investors seeking to invest in Russian equities over the long horizon.

stock market integration, CEE stock markets, Russian stock market, cointegration

Abstract:
Correlations of stocks in time have been widely studied. Both the Random Matrix Theory approach and the graphical visualisation of so-called Minimum Spanning Trees show the clustering of stocks according to industrial sectors. Studying the correlation between stocks traded in markets of different countries we show that the Random Matrix Theory approach is able to separate stocks according to their geographical location, provided they are not strongly correlated. These results are compared with the results from random time series created using the market model, where the main factor is the mean of returns of the stocks of each sector.

Random Matrix, correlations, geographical, country

Abstract:
We consider a generalization of the Heath-Jarrow-Morton model for the term structure of interest rates where the forward rate is driven by Paretian fluctuations. We derive a generalization of Ito's lemma for the calculation of a differential of a Paretian stochastic variable and use it to derive a Stochastic Differential Equation for the discounted bond price.

We show that it is not possible to choose the parameters of the model to ensure absence of drift of the discounted bond price. Then we consider a Continuous Time Random Walk with jumps driven by Paretian random variables and we derive the large time scaling limit of the jump probability distribution function (pdf). We show that under certain conditions defined in text the large time scaling limit of the jump pdf in the Fourier domain is \tilde{\omega}_t(k,t) \sim \exp{ -\mathfrak{K}/(\ln(k t))^2 } and is different from the case of a random walk with Gaussian fluctuations.

Stochastic differential equations, Ito's lemma, Term structure of interest rates, Pricing of financial derivatives, Scaling limits of Continuous Time Random Walks, Steepest descent approximation

Abstract:
This paper provides the first comprehensive baseline profile of the Irish economics profession, broadly defined, over a number of metrics. The questions fall into three broad categories: the first category relates to the attitudes of the respondents to issues relating to the economy and the role of government; the second set seeks responses regarding perceptions of the economics profession and professional economists in Ireland; the third set of questions are drawn from various international survey programmes and survey social, political, ethical and psychological attributes and attitudes. The objectives of this paper are twofold: firstly, to provide professional economists, policy makers and commentators with a benchmark regarding their own views and perceptions, which will allow them to more finely tune advice, methodologies, and analyses. The second is to allow the various actors in the profession to accurately benchmark what the profession value and what they do not.

Economic Methodology, Interdisciplinary Research, Sociology of Economics

Abstract:
The objective of this paper is to review the transmission mechanisms uniting equity market development and economic growth in developing countries. We find that the theoretical impact of equity markets is ambiguous. At the domestic level, the allocation function of equity markets appears conditioned by the extent of informational efficiency. Turning to international linkages, theoretical models suggest that equity market integration lowers the cost of capital, increases financial vulnerability and has a mixed impact on capital flows. Taking this into account, two conclusions arise. First, equity market development policies should focus on reaching and maintaining adequate levels of institutional transparency. Second, the optimal degree of international integration depends on the society's preference between international accessibility and domestic stability.

Equity Markets, Economic Development

Abstract:
Traditionally, analysts and traders have expected to see a stable, reasonably predictable, relationship between the price (and thus the rate of return) of gold and silver. Both these metals retain important industrial, commercial and investment uses. Recent research has cast some doubt on this assumption. We find that while over the 1990's the relationship may well have been more unstable, when a longer timeframe is examined the relationship is stable but weakening. This we hypothesize is due to the changing nature of the demand patterns for gold versus silver.

Cointegration, gold

Abstract:
This paper was commissioned as a report into the Irish Housing Market. The market has shown dramatic growth over the last 5 years, leading to fears in some quarters of a bubble. The report reviews the fundamentals underlying the Irish market for retail property and concludes that there is unlikely to be a bubble.

real estate, bubbles, Ireland

Abstract:
We propose a new approach to density forecast optimisation and apply it to Value-at-Risk estimation. All existing density forecasting models try to optimise the distribution of the returns based solely on the predicted density at the observation. In this paper we argue that probabilistic predictions should be optimised on more than just this accuracy score and suggest that the statistical consistency of the probability estimates should also be optimised during training. Statistical consistency refers to the property that if a predicted density function suggests P percent probability of occurrence, the event truly ought to have probability P of occurring. We describe a quality score that can rank probability density forecasts in terms of statistical consistency based on the probability integral transform (Diebold et al., 1998b). We then describe a framework that can optimise any density forecasting model in terms of any set of objective functions. The framework uses a multi-objective evolutionary algorithm to determine a set of trade-off solutions known as the Pareto front of optimal solutions. Using this framework we develop an algorithm for optimising density forecasting models and implement this algorithm for GARCH (Bollerslev, 1986) and GJR models (Glosten et al., 1993). We call these new models Pareto-GARCH and Pareto-GJR. To determine whether this approach of multi-objective optimisation of density forecasting models produces better results over the standard GARCH and GJR optimisation techniques we compare the models produced empirically on a Value-at-Risk application. Our evaluation shows that our Pareto models produce superior results out-of-sample.

Density Forecasting, Statistical Consistency, Calibration, Value at Risk

Abstract:
We study the evolution of global equity market integration using US dollar denominated iShares. Designed to mimic the movements of MSCI indices, these securities provide an easy pool of international diversification products for the investor. As such they allow us to conduct an analysis of the largest equity markets comovements devoid of problems associated with trading restrictions, exchange rates fluctuations and non-synchronous trading. In contrast to most of the previous studies, we apply time varying methodology for the analysis of both short-term and long-term comovements that provide detailed evidence on the pattern and dynamics of the equity market linkages. We find evidence in favour of increasing conditional correlations for all of the markets since 2001. Time-varying and recursive cointegration tests provide somewhat weak evidence in favour of the presence of bivariate cointegration relationships, but stronger evidence in the multivariate case, suggesting limited diversification opportunities for the U.S. based investor in the long run.

Stock Market Integration, G7 Stock markets, Cointegration, GARCH

Abstract:
This paper studies the time varying relationships between seven Latin America stock markets, the United States and a regional benchmark. Our interest is motivated by the completion of financial liberalization across major Latin America countries in the early 1990s. Starting with correlation analysis, we find relatively strong short-term co-movements between larger Latin America markets and the regional benchmark and U.S. market. We extend our analysis by applying a number of cointegration tests to examine the long-term equilibrium relations. The results are strongly in agreement that the Latin America equity markets have not become integrated either within the region or the United States, which suggests long-run diversification benefits to U.S and other international investors. Two recursive analyses are also implemented to unveil the dynamics of the regional and international integration.

Latin America, cointegration, equity markets, cointegration

Abstract:
The first four moments of four indices of equity returns produced by the Irish Stock Exchange are examined across different market directions. Using standard F, K-W and Levene tests daily seasonality is confirmed in all, although in a pattern different to that found elsewhere. In particular, there appears to be a Wednesday effect in mean returns and, counter to evidence elsewhere, daily seasonality appears stronger in rising than falling markets. In addition, this note applies a method introduced by Tang (1997) in finding a daily seasonal in skewness and kurtosis.

Abstract:
Evidence is provided that the preholiday behaviour of irish stock exchange equity indices is different to that found elsewhere. In particular, the indices do not show consistent preholiday positive returns. These returns seem to be driven by local, as opposed to international forces.

Abstract:
We examine the issue of possible portfolio diversification benefits into seven Middle-Eastern and North African (MENA) stock markets. We construct international portfolios in dollars and local currencies. We compute the ex-ante weights by plugging five optimization models and two risk measures into a rolling block-bootstrap methodology. This allows us to derive 48 monthly rebalanced ex-post portfolio returns. We analyze the out-of-sample performance based on Sharpe and Sortino ratios and the Jobson-Korkie statistic. Our results highlight outstanding diversification benefits in the MENA region, both in dollar and local currencies. Overall, we show that these under-estimated, under-investigated markets could attract more portfolio flows in the future.

Portfolio Allocation, Emerging Markets, Middle East and North Africa

Abstract:
This paper examines, in a statistically robust manner, the question of whether daily seasonality exists in the Irish market. The paper starts with a brief literature review, and a rather longer discussion of the particular methodological challenges such investigations pose. These challenges are, it is hoped, faced and, partially at least, overcome in the remainder of the paper. The findings are that after adjusting for sample size and taking into account the non-normality of the data, the evidence for daily seasonality in the Irish market is much reduced, although not eliminated. The paper goes beyond previous work in its analysis of the second and higher moments, again employing robust and statistically appropriate methods. Evidence is provided of daily seasonality in the second and higher moments that mirror only partially the evidence in the lower moment.

Ireland, Bayesian Analysis, Efficiency

Abstract:
The objective of this paper is to study capital market integration in smaller European countries and its implications for an international portfolio investment allocation. A time-varying analysis based on Barari (2004) suggests that the markets have recently started moving towards international financial integration. Results vary from country to country and sample countries can be broken down into distinctive groups according to their recent integration score performance: a) countries which are becoming increasingly integrated with both regional European and international equity markets (Estonia, Hungary, Czech Republic, Lithuania, Poland); and b) countries which have become increasingly integrated with the regional market, while growing segmented with the world market (Latvia, Slovakia, Slovenia). This is an encouraging indicator in that none of the countries have been growing segmented from the European equity markets since the EU accession.

Stock Market Integration, Portfolio Diversification, Smaller European markets, Time-varying methods

Abstract:
This paper provides some evidence on the speculation or hedging motives of traders as extracted from the recent Llorente, et al. (2002) model, for the Irish stock exchange. It is clear that the findings of Llorente, Michaely, Saar and Wang (2002) and Ciner (2003) do not transfer well to the Irish case. The more complex the econometric methodology the less the propositions of the model are supported by the data. A simple model provides evidence of significant speculation in the Irish market, while a more complex GARCH formulation with volume included as an explanatory variable in the conditional variance provides little support for the propositions of Llorente, Michaely, et al. (2002). Further research therefore is indicated.

Volume, Ireland

Abstract:
We document, for a new dataset, the existence of daily seasonality in the 19th Century. The dataset consists of the trades in 4 equities and 2 bonds in the Dublin stock exchange for the mid 19th century (1850-979). The end of the week shows significantly greater returns than the start of the week. The evidence also indicates that the returns were not independent, and that daily seasonality in variance also exists, the overall impression being one that is not favourable towards the efficient markets hypothesis.

Seasonality, EMH, 19th Century

Abstract:
The Friday the 13th anomaly of Kolb & Rodriguez (1987) is revisited in an international context. Drawing on the philosophy of science approach of Lakatos (1978) the paper argues the importance of 'anomalies' and the need for triangulation. Using the FTSE world indices over 1988-2000, for 19 countries, it is found that there is some evidence that returns on Friday the 13th are statistically different from, and generally greater than, returns on other Friday returns. The paper concludes with a brief discussion of the possibility of an emergent paradigm incorporating work such as Jacobsen & Bouman (1998) and Kamstra, Kramer & Levi (2000a).

Financial Economics, International, Asset Prices, Friday13th, Philosophy of Science

Abstract:
The minimum spanning tree (a concept from Physics) is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean occupation layer, and single- and multiple-step linkage survival rates. Over the period studied, 1997-2006, the tree shows a tendency to become more compact. This implies that global equity markets are increasingly interrelated. The consequence for global investors is a potential reduction of the benefits of international portfolio diversification.

Econophysics, International Integration, Emerging Markets, minimal spanning trees

Abstract:
The concept of a minimum spanning tree (MST) is used to study the process of comovements for 21 European Union stock market indices. We show how the asset tree and its related hierarchical tree evolve over time and describe the dynamics. Over the period studied, 1999-2006, the French equity market provides the main linkages in the system. The 2004 Accession states are more loosely connected to the other markets; they form two groupings, with the Czech Republic, Hungary, and Poland having tighter links to the main markets than the remaining accession markets. The consequence for global investors is a potential reduction of the benefits of international portfolio diversification in European markets, with the possible exception of those markets at the outer limits of the MST.

Minimum Spanning Tree, Equity Market Integration, Europe, Econophysics

Abstract:
Making use of ten years of daily data, this paper examines whether banking sector co-movements between the three largest Central and Eastern European Countries (CEECs) can be attributed to contagion or to interdependence. Our tests based on simple unadjusted correlation analysis uncover evidence of contagion between all pairs of countries. Adjusting for market volatility during turmoil, however, produces different results. We then find contagion from the Czech Republic to Hungary during this time, but all other cross-market co-movements are rather attributable rather to strong cross-market linkages. In addition, we construct a set of dummy variables to try to capture the impact of macroeconomic news on these markets. Controlling for own-country fundamentals, we discover that the correlations diminish between the Czech Republic and Poland, but that coefficients for all pairs remain substantial and significant. Finally, we address the problem of simultaneous equations, omitted variables and heteroskedasticity, and adjust our data accordingly. We confirm our previous findings. Our tests provide evidence in favour of parameter instability, again signifying the existence of contagion arising from problems in the Czech Republic affecting Hungary during much of 1996.

contagion, interdependence, macroeconomic news, banking sector, stock returns

Abstract:
This paper examines whether banking sector co-movements between the three largest Central and Eastern European Countries (CEECs) over the last decade can be attributed to contagion or to interdependence. Addressing various econometric problems put forward in the literature, we uncover substantial evidence of contagion stemming from the Czech Republic to Hungary during much of 1996.

Contagion, Interdependence, Macroeconomic news, Banking sector, Stock returns

Abstract:
This paper examines the extent, and determinants, of daily seasonality in the Dublin stock exchange over a ten-year period. It is found that there is a daily seasonal pattern in the two main indices. However, this seasonal pattern is mid-week, contrary to the previous research. This mid-week seasonality appears, on investigation, to differ in its source as between financial and other firms. Financial firms appear to react to macroeconomic news and non-financial to firm specific news, albeit weakly. No support for microstructural hypotheses of daily seasonality is found.

Daily seasonality, anomalies, market efficiency, Ireland

Abstract:
The pre-holiday behavior of equity price and return indices on the Irish Stock Exchange do not display consistent positive pre-holiday returns. This is contrary to the majority of studies on this area, and the result is found across a number of sectoral indices. The analysis also indicates that these curious results are driven by local, as opposed to international, influences.

Ireland, non-parametric, stock returns

Abstract:
This study examines the multiple listing phenomena by studying the characteristics of the hosting and listing countries and listing firms of the multiple-listed stocks. We document the loss of preeminence of the US as a preferred hosting country, this role now being taken by the EU. We find that generally larger firms with higher returns and enhanced growth prospects tend to list in multiple markets. They grow larger and received higher overvaluations from investors with each additional foreign listing. A positive listing premium is found but it diminishes as the listing order goes up and increases as the listing dates become more recent. Listing premiums of different orders relate to different country characteristics. We find no evidence to support the bonding hypothesis.

Multiple listings, emerging markets, ADR

Abstract:
Unlike most prior literature in finance and economics, this paper focuses on events in the political economy and examines the integration of European equity markets over the 1988 through 2002 period using three innovative techniques that assesses how the level of integration in equity price levels changes over time. The results show that notwithstanding the rising interdependencies between the European and US equity market until the mid-1990s, the long run integrative relationships governing the European markets began to strengthen only in the late 1990s and in particular since 1997. This evidence suggests that despite several years of political willingness by European leaders to integrate economies, it was not until the Treaty of Amsterdam and the establishment of the European Central Bank that the markets deemed that European integration would in fact occur.

Integration, Kalman Filter, EMU, Cointegration

Abstract:
This paper provides, for the first time, a comprehensive analysis of the journal article output of Irish-based economists over a 30-year period. Using EconLit data, and supplementing where necessary, we provide details of the journals wherein Irish-based economists have published, provide details of the publishing histories of high volume publishers and discuss the evolving productivity profile of Irish-based economists. Our evidence shows that in general Irish-based economists have greatly increased the levels of output in the 1990's, but that this may have been at the expense of quality.

economics, productivity, academics

Abstract:
This paper surveys the research on the influence of investor feelings on equity pricing and also develops a theoretical basis with which to understand the emerging findings of this area. The theoretical basis is developed with reference to research in the fields of economic psychology and decision-making. Recent advancements in understanding how feelings affect the general decision-making of individuals, especially under conditions of risk and uncertainty [e.g. Loewenstein et al. (2001). Psychological Bulletin 127: 267-286], are covered by the review. The theoretical basis is applied to analyze the existing research on investor feelings [e.g. Kamstra et al. (2000). American Economic Review (forthcoming); Hirshleifer and Shumway (2003). Journal of Finance 58 (3): 1009-1032]. This research can be broadly described as investigating whether variations in feelings that are widely experienced by people influence investor decision-making and, consequently, lead to predictable patterns in equity pricing. The paper concludes by suggesting a number of directions for future empirical and theoretical research.

Abstract:
This paper investigates the validity of Islamic Art as an investment product. We examine the current and future market potential, as well as, performing a hedonic regression analysis on London auction sales from 1998 to 2007. The main findings of the research are; Islamic art returns out performed both the equity and debt markets over the last 10 years; increases in oil prices have a positive effect on art prices, Islamic terrorist attacks on the Western World significantly reduce the value of Islamic art; and that the increase in future buyers means the Islamic art market has the potential to grow very strongly over the coming years. All these indicate the strong potential of this form of art as an investment.

art, hedonic regression, islamic finance

Abstract:
This paper studies the impact of international financial integration on corporate financing choices, at a country level. Examining publicly quoted firms of 24 emerging economies over the 1995-2007 period, we find that greater bond market integration is associated with increased leverage and a longer debt maturity. Measuring credit market integration via bank loan channels we find that increased integration leads to shorter debt maturity. In comparison with other firms, large firms tend to have higher leverage and longer debt maturity, and firms in common law countries have a longer debt maturity as financial integration increases. We find relatively little impact on emerging market firms capital structure choices when we examine equity market integration.

International financial integration, Emerging market firms, Capital structure

Abstract:
Prior research suggests an inverse relationship between geographic distance and financial market linkages. In this paper, we examine whether and how cultural distance between countries mitigates this finding. We find that country-pairs exhibit higher linkages if they have smaller cultural distance. The result remains significant to alternative measures of linkage. Finally, the cultural effect seems to be more pronounced for active trading country-pairs than thin-trading country-pairs.

Emerging markets, International stock market comovement, Cultural distance

Abstract:
Correlations of stocks in time have been widely studied. Both the random matrix theory approach and the graphical visualization of so-called minimum spanning trees show the clustering of stocks according to industrial sectors. Studying the correlation between stocks traded in markets of different countries, we show that the random matrix theory approach is able to separate stocks according to their geographical location, provided that they are not strongly correlated. These results are compared with the results from random time series created using the market model, where the main factor is the mean of returns of the stocks of each sector.

Econophysics, random matrix theory, random time series

Abstract:
As part of a broader financial development reform agenda, the Middle East and North Africa (MENA) countries have successfully expanded and revitalised their stock markets over the last decade. Whereas previous contributions have investigated efficiency, international integration and portfolio diversification opportunities, very little is known about these markets’ vulnerability to external financial crises. In this paper, we investigate shift-contagion to the MENA region using a comprehensive battery of econometric tests for a number of different crises episodes: the 1997 Asian crisis, the 1998 Russian virus and its Brazilian sequel, the 2000 Turkish collapse, the 9/11 turmoil, the 2001 Argentinean crisis, the 2002 Enron/WorldCom scandal and the 2007–09 global financial crisis. We found that Turkey, Israel and Jordan were the most vulnerable markets over the 1997–2009 period, followed by Tunisia, Morocco, Egypt and Lebanon. Our results also highlight heterogeneous but increasing levels of sensitivity to external financial shocks, especially during the recent global financial crisis. From a financial point of view, this suggests that MENA-based diversification strategies may be relatively inefficient during periods of global turmoil. From an economic point of view, our results suggest that stock market development also involves potential destabilisation costs. This issue should be acknowledged and addressed by policymakers if these countries are to ensure a smooth transition towards international financial integration.

Abstract:
The concept of a minimum spanning tree (MST), based on graphing theory, is used to study patterns of comovements for a set of twenty government bond market indices for developed North American, European, and Asian countries. We show how the MST and its related hierarchical tree evolve over time and describe the dynamic development of market linkages. Over the sample period, 1993-2008, linkages between markets have decreased somewhat. However, a subset of European Union (EU) bond markets does show increasing levels of comovements. Within this subset the French, rather than the German, bond market more frequently assumes a central role. This casts into question the frequent use of the German market as a “benchmark.” The evolution of distinct groups within the Eurozone is also examined. The implications of our findings for portfolio diversification benefits are outlined.

Abstract:
An important puzzle in international finance is the failure of the forward exchange rate to be a rational forecast of the future spot rate. We document that even after accounting for nonstationarity, nonnormality, and heteroskedasticity using parametric and nonparametric tests on data for over a quarter century, U.S. dollar forward rates for the major currencies (the British pound, Japanese yen, Swiss franc, and the German mark) are generally not rational forecasts of future spot rates. These findings deepen the forward exchange rate bias puzzle, especially as these markets are the most liquid foreign exchange markets with very low trading costs.

Abstract:
We examine the nature, extent and possible causes of bank contagion in a high frequency setting. Looking at six major European banks in the summer and autumn of 2008, we model the lower coexceedances of these banks returns. We find that market microstructure, volatility (measured by range based measures) and limited general market conditions are key determinants of these coexceedances. We find some evidence that herding occurred.

bank, crisis, coexceedance, probit

Abstract:
This paper provides, for the first time, a comprehensive analysis of the journal article output of Irish-based economists over a 30-year period. Using EconLit data, and supplementing where necessary, we provide details of the journals wherein Irish-based economists have published. We also provide details of the publishing histories of high volume publishers and discuss the evolving productivity profile of Irish-based economists. Data are in general consistent with existing research on the output of smaller national based sets of economists. We find evidence that the productivity of a small number of high volume producers and institutions is a substantial driver of overall national outputs. Evidence is inferred of the impact of productivity on career paths, and we examine details of the split between domestic and interantionally originated journals.

Our evidence shows that in general Irish-based economists have greatly increased the levels of output in the 1990's, but that this may have been at the expense of quality

Productivity, Ireland, Citation Analysis

Abstract:
This paper examines the Kolb & Rodrigues (1987) 'Friday the 13th' Anomaly using a consistent international dataset, the FT_Actuaries indices. It is found that the mean return on Friday the 13th is significantly greater than that of all other Friday's and that this result stems from a source other than a risk premium. the paper concludes with a discussion of the philosophical importance of such anomalies, in a Lakatoshian framework.

Abstract:
Irish stock market daily returns are examined, with a finding of a significant postive Wednesday return. Using a GARCH-M specification, this cannot, it appears, be down to systemic risk.

Abstract:
This paper looks at the relationships between the structure, conduct, and performance of the main Irish depository credit institutions in the years 1988-1993 inclusive. Uniquely among papers on the Irish system, it allows for a direct comparison among three main contenders as a theory. These are the standard SCP approach, the Relative Efficiency hypothesis, and the Quiet life hypothesis, a generalisation of the Expense preference hypothesis. A standard SCP analysis is augmented by the addition of directly calculated efficiency ratios. These are calculated by means of a Free Disposible Hull ,and also by the Distribution Free method. Mixed evidence is found for the SCP paradigm, banks not being adequately explained by this theory while building societies being explained by none of the competing theories. Banks are more closely explained by the Relative Efficiency paradigm while for building societies there is evidence that efficiency and profitability are inversly related. Some evidence is also presented regarding the underlying competitivre conditions of the markets.