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Outputs (3)

Business cycle variation in positive feedback trading : evidence from the G-7 economies (2014)
Journal Article
Chau, F., & Deesomsak, R. (2015). Business cycle variation in positive feedback trading : evidence from the G-7 economies. Journal of International Financial Markets, Institutions and Money, 35, 147-159. https://doi.org/10.1016/j.intfin.2014.12.003

Using the business cycle indicators and the aggregate stock market data, this paper examines the degree of positive feedback trading in the G-7 economies and the extent to which such behaviour varies across business cycle. The evidence suggests that... Read More about Business cycle variation in positive feedback trading : evidence from the G-7 economies.

Premiums, Discounts and Feedback Trading: Evidence from Emerging Markets’ ETFs (2014)
Journal Article
Charteris, A., Chau, F., Gavriilidis, K., & Kallinterakis, V. (2014). Premiums, Discounts and Feedback Trading: Evidence from Emerging Markets’ ETFs. International Review of Financial Analysis, 35, 80-89. https://doi.org/10.1016/j.irfa.2014.07.010

This study investigates the extent to which ETFs’ premiums and discounts motivate feedback trading in emerging markets’ ETFs. Using a sample of the first-ever launched broad-index ETFs from four emerging markets (Brazil, India, South Africa and South... Read More about Premiums, Discounts and Feedback Trading: Evidence from Emerging Markets’ ETFs.

Does Linkage Fuel the Fire? The Transmission of Financial Stress across the Markets (2014)
Journal Article
Chau, F., & Deesomsak, R. (2014). Does Linkage Fuel the Fire? The Transmission of Financial Stress across the Markets. International Review of Financial Analysis, 36, 57-70. https://doi.org/10.1016/j.irfa.2014.02.005

This paper develops an indicator of financial stress transmission, called Financial Stress Spillover Index (FSSI), to monitor the condition of financial system and to identify periods of excessive spillover that may lead to financial instability. Spe... Read More about Does Linkage Fuel the Fire? The Transmission of Financial Stress across the Markets.