The transmission mechanism of price and volatility spillovers across the New York, Tokyo
and London stock markets is investigated. The asymmetric impact of good news (market …

… The particular functional forms for g, and gr are given in (5) and (6). As can be seen, g() is …
The loglikelihood function is highly nonlinear in G) and, therefore, numerical maximization …

The article talks about the modeling of the dynamic interdependence of major European
stock markets. The growing globalization of financial markets has been accompanied by a …

This paper tests the hypothesis that the introduction of index futures has increased positive
feedback trading in the spot markets of six industrialized nations. The analysis is based on a …

This paper tests the hypothesis that exchange rate exposure is asymmetric over
appreciation–depreciation cycles. More specifically, it investigates whether returns on nine sector …

This paper examines the pattern of autocorrelation of stock returns in several foreign stock
markets, assuming that some investors follow a positive feedback trading strategy. There is …

This paper tests the hypothesis that both the conditional mean and the conditional variance
of index stock returns are asymmetric functions of past information. For this purpose, an …

… Another important feature of the model is the asymmetric function, g(z,_ ), of past standardized
residuals. This function allows the conditional variance to respond asymmetrically to …

Purpose – The literature on positive feedback trading has grown considerably in recent years.
The purpose of this paper is to provide a review of the theoretical and empirical literature …

This paper tests the hypothesis that stock returns in emerging stock markets adjust
asymmetrically to past information. The evidence suggests that both the conditional mean and the …