This paper examines lunisolar calendar anomalies in the Taiwan stock market, particularly the solar term effect. Using the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), the significance of the solar term effect was tested. Statistical results showed that the lowest and the highest average stock returns are observed on Cold Dew and White Dew, respectively. Additionally, we f...

This study measures the dynamics of the growth and expansion of international crosslistings through American Depositary Receipts (ADRs) in emerging equity markets around the world and evaluates its impact on their development and integration with world markets. Overall, I find that the increasing number of new ADR programs, their market capitalization and trading volume in those countries are p...

We examine the selection and performance of stocks recommended by analysts at a large investment firm relative to those of sell-side analysts during the period mid-1997 and 2004. The buy-side firm’s analysts issued less optimistic recommendations for stocks with larger market capitalizations and lower return volatility than their sell-side peers, consistent with their facing fewer conflicts of ...

This paper investigates the information content of the ex post overnight return for one-day-ahead equity Value-at-Risk (VaR) forecasting. To do so, we deploy a univariate VaR modeling approach that constructs the forecast at market open and, accordingly, exploits the available overnight close-to-open price variation. The benchmark is the bivariate VaR modeling approach proposed by Ahoniemi et a...

Abstract This article offers a meta-regression analysis of the literature on drivers financial development (FD). Our results based 1,900 estimates suggest that institutional quality is positively correlated to both private sector credit and stock market capitalization (both as share Gross Domestic Product). openness has positive effect proxies for FD, while trade seems only important capitaliza...

This paper studies the role of capitalization on firms’ stock price growth in response to new cases Covid-19 infections United States. Controlling for firm and time fixed effects, our panel model estimates show that effect is significantly increasing capitalization: For each one standard deviation increase capitalization, a increases weekly rate prices by about 0.7% points. Effects impact have ...

The purpose of this study is to see whether Covid 19 pandemic affects stocks listed on the Jakarta Islamic Index (JII) in Indonesia. This uses data time series as seen from combined stock price index JII July 2019 2020. In testing hypothesis, independent sample t-test and Mann Whitney test are applied prove effects Index. results showed that there an impact JII. A significance value 0.000 evide...