Using weekly share return data from a sample of five Pacific Rim and the UK and US stock markets over the period 1 January 1988-14 October 1994, this paper examines the relationship between conditional return volatility, market performance and news arrival at the market-place. Our results...

Using 33 years of data this article considers linkages between New Zealand, Australia and various other Pacific-Basin equity markets. Using time-varying parameter modelling techniques we show that the New Zealand stock market returns have become increasingly sensitive to perturbations in the...

Using a dynamic version of the present value model and a range of developed and Asian emerging markets, this article considers estimates of stock market prices given expectations on dividends and earnings and compares these fundamental stock prices with actual stock prices. The reported...

A generally accepted view among researchers and policy makers is that large capital flows to Latin America starting from the second half of the 1980s through the 1990s may have caused speculative bubbles in the asset markets of recipient economies. This article tests for asset price bubbles in...

This study provides a critical review of the research literature on long-run Purchasing Power Parity and the stability of real exchange rates.

This article provides capital flow forecasts to 32 developing countries using an unobserved components model and maximum likelihood Kalman filtering estimation. Permanent and temporary components of capital flows of bond, equity and syndicated loans are separated out to the countries concerned....

We provide an introduction and overview to the 12 applied financial studies making up this special issue on the Global Financial Crisis (GFC). The studies cover a wide range of international and regional experience and employ a variety of applied techniques.

This special issue of Applied Financial Economics is dedicated to the memory and the achievements of Professor Sir Clive Granger, economics Nobel laureate and one of the great econometricians and applied economists of the twentieth and early twenty-first centuries. As editor of the Applied...