This study assess the nonlinear behavior of U.K. Construction and Real Estate indices. Standard unit root tests show that both time series are I(1) processes. However, the empirical results show that the returns series for both indices deviate from the null hypothesis of white noise. Moreover,...

This study applies statistical tools, derived from chaos theory, to examine the behaviour of the ISEQ equity index on the Dublin Stock Exchange. Evidence that the ISEQ index series does not behave as a realization of a sequence of independent, identically distributed random variables (IID) is...

This paper examines the response of securityprices to the share dealings by directors ofsmall capitalised firms in the United Kingdomand tests as to whether the share dealingscontain information with regard to the firm'sfuture financial performance. The results ofthe study indicate that...

In a recent paper, Razzak (2001) finds some evidence of two types of asymmetry,steepness and deepness, in international business cycle data, using the nonparametric test of Randles et al. (1980). In this paper, we test for three types of asymmetry: steepness, deepness and sharpness, using the...

This paper examines conditional and unconditional asymmetries in the Nelson and Plosser dataset by using two tests recently proposed by Jushan Bai and Serena Ng. In line with previous research, the results show that asymmetry is not a proper characterization of most macroeconomic series,...

This study analyses asymmetries in the dynamic relationship between unemployment and the business cycle in the UK and the US. Unemployment rates present clear unconditional asymmetry in both countries. Markov switching regime models with two regimes also display clear asymmetries and show that,...

This study analyzes the relationship between unemployment and the business cycle in the UK and the US. For both economies, a strong and definite association is found that shows that cyclical shocks extend their effect on unemployment over several quarters. This association is much more intense...