Recently developed methodology to allow the possibility of a stochastic unit root process as an alternative to a fixed parameter unit root model is applied to six national indices of stock market prices. Evidence supporting the stochastic unit root hypothesis is found. However, the...

This study investigates changes in the persistence of the S&P Composite dividend-price ratio. Recently developed tests are employed that allow for breaks between periods in which the data are integrated of order zero, I(0), and integrated of order one, I(1). One of the tests finds a break from...

Monthly data on the $US/ECU exchange rate are analysed in light of the random walk hypothesis. A battery of tests, including procedures that are robust to conditional heteroscedasticity, are applied against linear alternatives to departures from the random walk. These tests are all based on the...

This paper investigates the claim that the common finding of cointegration between spot and lagged forward exchange rates reflects the existence of covered interest arbitrage and not, as is generally accepted, long-run market efficiency. Breuer and Wohar's (1996) methodology is employed to match...