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Applied Financial Economics Letters

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Applied Financial Economics Letters, Volume 2, Issue 1 (2006)

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Applied Financial Economics Letters, Volume 2, Issue 1 (2006)

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Original Articles

Article

Random walk versus multiple trend breaks in stock prices: evidence from 15 European markets

Paresh Kumar Narayan & Russell Smyth

Pages: 1-7

Published online: 19 Aug 2006

AbstractforRandom walk versus multiple trend breaks in stock prices: evidence from 15 European markets | Full Text | References | PDF (93.2 KB)

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Article

Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques

Guglielmo Maria Caporale & Luis A. Gil-Alana

Pages: 9-12

Published online: 19 Aug 2006

AbstractforModelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques | Full Text | References | PDF (111.1 KB)

24 Views
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Article

Modelling catastrophic risk in international equity markets: an extreme value approach

John Cotter

Pages: 13-17

Published online: 19 Aug 2006

AbstractforModelling catastrophic risk in international equity markets: an extreme value approach | Full Text | References | PDF (108.6 KB)

35 Views
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Article

The influence of performance on the flows into Spanish equity funds

Luis Ferruz, Cristina Ortiz & Jose L. Sarto

Pages: 19-23

Published online: 19 Aug 2006

AbstractforThe influence of performance on the flows into Spanish equity funds | Full Text | References | PDF (89.3 KB)

15 Views
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Article

Long memory properties of real interest rates for 16 countries

Jeremy Couchman, Rukmani Gounder & Jen-Je Su

Pages: 25-30

Published online: 19 Aug 2006

AbstractforLong memory properties of real interest rates for 16 countries | Full Text | References | PDF (93.4 KB)

81 Views
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Article

The application of an intervention model to the Taiwan stock exchange price limits policy

Min-Tsung Cheng & Yeong-Jia Goo

Pages: 31-36

Published online: 19 Aug 2006

AbstractforThe application of an intervention model to the Taiwan stock exchange price limits policy | Full Text | References | PDF (97.8 KB)

29 Views
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Article

Domestic portfolio choice amid political instability

Shu-Hsien Chen, Ming-Shu Hua & Richard Stuetz

Pages: 37-41

Published online: 19 Aug 2006

AbstractforDomestic portfolio choice amid political instability | Full Text | References | PDF (101.2 KB)

23 Views
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Article

Liquidity, volume and volatility in US electricity futures: the case of Palo Verde

Barry Goss

Pages: 43-46

Published online: 19 Aug 2006

AbstractforLiquidity, volume and volatility in US electricity futures: the case of Palo Verde | Full Text | References | PDF (83.3 KB)

95 Views
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Article

The evolving relationship between gold and silver 1978–2002: evidence from a dynamic cointegration analysis: a note

Brian M. Lucey & Edel Tully

Pages: 47-53

Published online: 19 Aug 2006

AbstractforThe evolving relationship between gold and silver 1978–2002: evidence from a dynamic cointegration analysis: a note | Full Text | References | PDF (177.4 KB)

375 Views
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Article

Asymmetric beta in bull and bear market conditions: evidences from India

Saumitra N. Bhaduri & S. Raja Sethu Durai

Pages: 55-59

Published online: 19 Aug 2006

AbstractforAsymmetric beta in bull and bear market conditions: evidences from India | Full Text | References | PDF (95.5 KB)

352 Views
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Article

Diminishing marginal impatience: its promises for asset pricing

Hiranya K. Nath & Jayanta Sarkar

Pages: 61-64

Published online: 19 Aug 2006

AbstractforDiminishing marginal impatience: its promises for asset pricing | Full Text | References | PDF (96.6 KB)

47 Views
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Article

Do common variations in liquidity exhibit a U-shaped pattern across weekdays?

Mohsen M. Saad

Pages: 65-68

Published online: 19 Aug 2006

AbstractforDo common variations in liquidity exhibit a U-shaped pattern across weekdays? | Full Text | References | PDF (80.8 KB)

26 Views
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Errata

Correction

Erratum

Page: 69

Published online: 19 Aug 2006

CitationforErratum | Full Text | PDF (40.4 KB)

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Applied Financial Economics Letters (Vol.2, Iss.1, 2006)

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