Modelling stock return behaviour provides an important tool for analysing investment decisions and choices. In this paper, the assumption of linearity is tested for the returns of three North African markets—Egypt, Morocco and Tunisia. I find that the assumption of independently and...

This study attempts to empirically investigate the impact of interest rate liberalisation on the efficiency of investment allocation in Kenya – using cointegration-based error-correction model. The study was motivated by the current debate on the efficacy of interest rate liberalisation on the...

The ability of simple technical trading rules to forecast future stock market movements is considered for seventeen emerging markets, sampled from January 1986 to September 2003. Some of the trading rules considered generated significant returns; this information could be exploited profitably on...

We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the stochastic process for a given portfolio. In particular,...