School of Economics and Finance
Private Bag 102904, NSMC
Massey University - Department of Economics and Finance
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Arbitrage, Pairs Trading, ETF
Sectors, Industries, Stock Markets, Halloween effect, Sell in May, Sector Rotation
observation interval, return predictability tests, market efficiency, gradual information diffusion, market timing, quantitative investment techniques, commodity
Halloween Effect, Sell in May, January effect, Book to Market, Value, Growth
limit order book, order flow, Thailand
Treasury inflation protected securities (TIPS), portfolio diversification
Value at risk, portfolio performance, asset allocation
industrial metals, state-switching, return predictability, gradual information diffusion, business cycle
Convertible bond, Japan, Event study
Inflation, Treasury Inflation Protected Securities (TIPS), Equilibrium Asset Allocation, Inflation Expectation
Commodity, Liquidity, Commonality
currency, momentum, reversal
Credit Rating, Irish
Frontier market, liquidity, transaction cost, diversification
intraday patterns, spreads, depths, order flows, Thailand
frontier market, liquidity proxy, transaction cost
Corporate Governance, Legal Reforms, Malaysia
Liquidity, transaction cost, order splitting
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Liquidity, Transaction cost, Order splitting
File name: fire.
Asset Classes, Jump Risk
Intraday, Event Study
Liquidity, Politics, Information Asymmetry, Economic Policy Uncertainty
Governance, Return Predictability, International Equity Markets, Information Diffusion, Slow Moving Capital
Liquidity Measurement, Liquidity Proxy, Transaction Costs, Exchange Traded Funds, ETF
Rumour, Gradual Information Diffusion, Investor Inattention, Limits to Arbitrage
Foreign Currency Exposure, New Zealand
Financial contagion, extreme value, New Zealand
Liquidity, Commonality, Microstructure, Thailand
Idiosyncratic risk, CAPM, Stock returns
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