This study aims to test the causal relationship between Saudi stock market index (TASI) and sectoral indices throughout the period from 2016-2020. The study data were extracted through the main index of the Saudi market and the indices of the available data of 19 sectors out of 21 sectors. The...

Analyses of spatial market integration contributes to the knowledge about market efficiency and provides information to policymakers, as the spatial integration of markets contributes to competitiveness and economic development. Although the integration of agri-food markets is widely discussed...

We propose a simple and reproducible methodology to create a single equation forecasting model (SEFM) for low-frequency macroeconomic variables. Our methodology is illustrated by forecasting annual real GDP growth rates for 52 African countries, where the data are obtained from the World Bank...

Purpose - The paper aims to shed light on the effects of inflation on gold price and exchange rate in Vietnam by using time-varying cointegration. Design/methodology/approach – Using cointegration techniques with fixed coefficient and time-varying coefficient, the study exams the impacts of...

This study was motivated by the poor performance of the current models used in stock return forecasting and aimed to improve the accuracy of the existing models in forecasting future stock returns. The current literature largely assumes that the residual term used in the existing model is white...