https://hdl.handle.net/10419/102 2026-09-23T07:25:28Z https://hdl.handle.net/10419/22108 Title: Leaders and Laggards: International Evidence on Spillovers in Returns, Variance, and Trading Volume Authors: Gebka, Bartosz Abstract: This paper investigates the dynamic relationship between index returns, return volatility, and trading volume for eight Asian markets and the US. We find crossborder spillovers in returns to be nonexisting, spillovers in absolute returns between Asia and the US to be strong in both directions, and spillovers in variance to run from Asia to the US. Trading volume, especially on the Asian markets, depends on shocks in domestic and foreign returns as well as on variance, especially those shocks originating in the US. However, only weak evidence is found for trading volume influencing other variables. 2006-01-01T00:00:00Z https://hdl.handle.net/10419/22112 Title: Allocative efficiency measurement revisited: Do we really need input prices? Authors: Badunenko, Oleg; Fritsch, Michael; Stephan, Andreas Abstract: The traditional approach to measuring allocative efficiency is based on input prices, which are rarely known at the firm level. This paper proposes a new approach to measure allocative efficiency which is based on the output-oriented distance to the frontier in a profit?technical efficiency space-and which does not require information on input prices. To validate the new approach, we perform a Monte-Carlo experiment which provides evidence that the estimates of the new and the traditional approach are highly correlated. Finally, as an illustration, we apply the new approach to a sample of about 900 enterprises from the chemical industry in Germany. 2006-01-01T00:00:00Z https://hdl.handle.net/10419/22113 Title: Political Orientation of Government and Stock Market Returns Authors: Bialkowski, Jedrzej; Gottschalk, Katrin; Wisniewski, Tomasz Piotr Abstract: Prior research documented that U.S. stock prices tend to grow faster during Democratic administrations than during Republican administrations. This letter examines whether stock returns in other countries also depend on the political orientation of the incumbents. An analysis of 24 stock markets and 173 different governments reveals that there are no statistically significant differences in returns between left-wing and right-wing executives. Consequently, international investment strategies based on the political orientation of countries' leadership are likely to be futile. 2006-01-01T00:00:00Z https://hdl.handle.net/10419/22111 Title: Institutional investors and stock market efficiency: The case of the January anomaly Authors: Bohl, Martin T.; Gottschalk, Katrin; Henke, Harald; Pál, Rozália Abstract: In this paper, we investigate the effect of institutional investors on the January stock market anomaly. The Polish and Hungarian pension system reforms and the associated increase in investment activities of pension funds are used as a unique institutional characteristic to provide evidence on the impact of individual versus institutional investors on the January effect. We find robust empirical results that the increase in institutional ownership has reduced the magnitude of an anomalous January effect induced by individual investors' trading behavior. 2006-01-01T00:00:00Z