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ABSTRACT Cooper et al. report US evidence of the ‘other January effect,’ where returns in January are shown to have predictive power for returns over the subsequent 11 months. We re‐examine the latest sub‐period that they examine and find that the results using excess returns are not unique to...
ABSTRACT This paper provides empirical evidence that continuous time models with one factor of volatility are, under some circumstances, able to fit the main characteristics of financial data and reports insights about the importance of introducing feedback factors to capture the strong...
ABSTRACT This study reports new findings on the behavior of index futures (FKLI: code name of Kuala Lumpur Index Futures contract) prices and also records the effect of a major financial crisis on the prices. Since the inception of trading in 1995, the FKLI has been selling at a discount, which...
ABSTRACT In this paper, we study the relation among market structure, trading costs, and competition in National Association of Securities Dealers Automated Quotations (NASDAQ). In particular, we address the following questions: Do NASDAQ dealers exercise market power and extract economic rents...
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