Purpose – This paper investigates whether mean reversion holds for a panel of 16 OECD stock price indices for the period 1970 to 2011. Design/methodology/approach -We employ seemingly unrelated regression (SUR)-based linear and non-linear unit root tests which are not only able to exploit the...

Purpose –The purpose of this paper is to test whether the volatility of regional stock markets’ is common or country-specific for 46 international markets of the Asian, European, African and Latin American regions using the Morgan Stanley Capital International daily prices in the period from...

Purpose –The purpose of this paper is to examine the relationship between trading volume and returns in the West Texas Intermediate (WTI) and Brent crude oil futures markets. In so doing, the paper addresses two important issues. First, whether there is a positive relationship between returns...

Purpose – Algorithmic trading attempts to reduce trading costs by selecting optimal trade execution and scheduling algorithms. Whilst many common approaches only consider the bid-ask spread when measuring market impact, the authors aim to analyse the detailed limit order book data, which has...

Purpose – This paper aims to examine the short-term structure of the impact of R&D investments on turnover growth, indicating differences between tangible and intangible investments. The main questions are whether R&D and capital investments accompany firms' growth in the subsequent periods...

This paper examines two paths by which F. A. Hayek’s work has influenced the cognitive theory of institutions: cognition and cultural evolution. It argues that there is a relationship between the sensory order and the social order. The explanation of social order begins with the human mind....

Should fear guide our actions and governments’ political decisions? A leitmotiv of common sense is that emotions are tricky, they blur our rational capacity of estimating utilities in order to plan action and thus they should be banned from any account of our rational expectations. In this...

We conducted an online study of projected behavioral and emotional responses to escalating terrorist threat. The study employed scenarios in which terrorists targeted commercial airliners with missiles at an international airport. An important feature of attacks on commercial flights is that...

This paper examines the adequacy of an evolutionary-oriented notion of rationality—ecological rationality—that has recently been proposed in economics. Ecological rationality is concerned with what it is rational to do, and in this sense is a version of what philosophers call ‘practical...

Societies with a higher level of income inequality tend to have lower levels of intergenerational income mobility. Known as the Great Gatsby Curve, this negative relationship in part derives from greater intergenerational economic heritance among the poor. Societies with higher rates of relative...