In this article the long memory and nonlinear properties of share prices in the UK's stock exchange and alternative investment markets are explored. The results suggest that the most commonly traded shares exhibit long memory. Thus, the validity of market efficiency is questioned.

This article examines the impact of outward foreign direct investment (OFDI) on domestic investment by applying cointegration techniques to macroeconomic time series data for Italy. We find that OFDI has negative short-run and positive long-run effects on domestic investment. Furthermore, our...

In this article, we investigate the possibility that stock market microstructure characteristics might affect price formation and volatility in the Athens Stock Exchange (ATHEX). We conclude that alterations in the structure and the duration of the trading session do not affect volatility or...

The aim of our article is to investigate whether corporate cash flow and accruals data have a role to play in explaining dividends for a sample of nonfinancial UK firms between 1994 and 2004. We employ a cash flow variant of Lintner's (1956) dividend model similar to those used in prior research...

Mutual funds whose share prices are not calculated with enough precision face the danger of opportunistic trading. This fact is documented empirically with respect to the Government Securities Investment Fund (G Fund), a part of the defined contribution plan run by the US federal government for...

This study provides empirical evidence of the long-range behaviour in international equity markets. We test for long memory in the daily returns using the modified rescaled range statistic R/S proposed by Lo (1991) and the rescaled variance V/S statistic developed by Giraitis et al. (2003). Long...

The purpose of this article is to analyse the influence of corporate insider ownership of shares on the performance of companies in the retail industry. Prior research examined the relationship between insider ownership and firm values measured by Tobin's Q. In this article, we focus on the...

This study employs a bivariate GARCH model to examine the dynamic relationships between two gold futures markets (COMEX and TOCOM) before and during gold's recent uptrend of the past few years. Results show that the performance of COMEX is better than TOCOM. However, TOCOM leads COMEX in the...

In this article we develop a long-run systematic liquidity measure by augmenting the standard model with a lagged dependent variable. Our empirical application involves a large sample of Australian equities and we find pervasive evidence of long-run commonality in liquidity. We also find...

This article generalizes the model of Dodonova and Khoroshilov (2006) who argues that there are no signalling equilibria in takeover auctions.