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This paper investigates the possibility that futures markets attract noise traders who engage in positive feedback trading, an especially destabilizing form of noise trading. The hypothesis is tested using data from four major national index futures markets. The empirical evidence is consistent across all index futures markets under examination. Specifically, there is significant evidence of positive feedback trading. More importantly, the feedback trading pattern exhibits significant long memory in the sense that it depends on longer lags of past prices. Because volatility is asymmetric, the implication is that feedback trading is also asymmetric, being more prevalent during down markets so that mispricing is more likely during those periods that feedback traders are more active.

The paper seeks to investigate conditional correlations and conditional volatility spillovers across international stock markets and industrial sectors from the perspective of the UK investor.

Utilizing the DCC model, the paper extracts the time‐varying conditional correlations between the UK, US and European stock markets and industrial sectors. It also uses the multivariate generalized autoregressive conditional heteroscedasticity (MVGARCH) to assess the transmission of volatility from the US and European stock markets to the UK.

The findings suggest that the UK equity market is more integrated with Europe, in terms of both aggregate stock markets and sectors. Correlations are higher during bear markets and tend to fall during periods of recovery. The sectoral analysis also provides interesting insights into the dynamics of volatility transmission across sectors.

The results suggest that the search for a better understanding of the dynamics of correlations between markets and sectors must continue.

The investigation raises interesting questions for investors and regulators, as well as theoretical finance. For example, the finding that correlations increase in bear markets suggests that hedging strategies need to be revisited. The existence of sectoral idiosyncratic volatility offers further evidence that arbitrage may at times become more risky and thus limited.

The findings from analysing both market‐wide and sectoral integration raises the overarching question of whether studies of market integration and portfolio diversification, as well as the authorities overseeing financial stability, should be focusing on sectoral rather than market‐wide analysis.

The global banking environment is experiencing significant change as regulatory and geographical barriers to competition are reduced. As these barriers are removed, greater integration of banking services is developing throughout the world affecting the performance and structure of banking institutions. This research examines the stock returns and volatility of stock returns for a sample of banks in the United States, Europe, Canada and Japan. The general focus is to identify factors influencing the return and risk and to examine cross‐country differences in these factors. The results suggest that while size does not affect return volatility for any of the categories of banks, it does affect returns for banks in Japan, the U.S. and other non‐universal banking systems. Likewise, the investment in fixed assets appears consistently to adversely affect returns. A number of differences are found across country borders and across type of institutions (i.e. universal versus non‐universal banks).

This paper investigates the determinants of the capital structure of large corporations headquartered in the United States and Korea. We consider five explanatory variables: profit, company size, non‐debt tax shields, growth, and business‐risk, along with several industry indicator variables as independent variables and examine, for each country, the relationship to market value based leverage ratio. With our rigid criteria for inclusion in the study, we study the top thirteen companies (by size) in each of seven industries. The majority of our findings indicate that we can generalize to Korea what has been found for Japanese companies/industries relative to the U.S.