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Forthcoming Articles
Volume 19, Number 4 / December 2015 , Pages 223-313
 
Multinational Finance Journal, 2015, vol. 19, no. 4, pp. 223-266 | https://doi.org/10.17578/19-4-1
Panayiotis Theodossiou , Cyprus University of Technology, Cyprus    Corresponding Author

Abstract:
This article provides a mathematical and empirical investigation of the reasons for the presence of skewness and kurtosis in financial data. The results indicate that this phenomenon is triggered by higher-order moment dependencies in the data, such as asymmetric and conditional volatility. Moreover, the article develops and tests successfully a skewed extension of the generalized error distribution (SGED), which is then used to model European call option prices. Under the standard assumptions of risk neutrality, normality of log-returns, and absence of arbitrage opportunities, the SGED model yields as special cases several well-known models for pricing options on stocks, stock indices, currencies, and currency futures.

Keywords : asymmetric volatility; call option pricing; conditional heteroskedasticity; geometric Brownian motion; skewed GED
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Multinational Finance Journal, 2015, vol. 19, no. 4, pp. 267-313 | https://doi.org/10.17578/19-4-2
Graham Bornholt , Griffith University, Australia
Paul Dou , Monash University, Australia
Mirela Malin , Griffith University, Australia    Corresponding Author

Abstract:
We investigate the role of trading volume in predicting the magnitude and persistence of the price momentum phenomenon in markets around the world. Using comprehensive data for 38,273 stocks from 37 countries, we show that past trading volume relates to both the level and persistence of momentum profits. The volume-based early stage momentum strategy outperforms the traditional momentum strategy in 34 out of 37 countries. In addition, we find evidence of a volume effect and we show that the degree of individualism in a country can explain the size of the volume effect in the markets investigated in this paper.

Keywords : early stage momentum; national culture; volume effect; turnover; individualism
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