It is widely acknowledged in the financial literature that trading in asset markets is mainly induced by the arrival of new information. However, the contemporaneous and dynamic empirical relationship beween volume and returns in futures data, with attendant implications for futures market...

Recent research has increasingly suggested that exchange rates may be characterised by non-linear behaviour which results from the existence of market frictions. This paper examines whether such non-linear behaviour is evident, not in rates themselves, but in the adjustment of rates back to some...

Recent empirical evidence suggests that stock market returns are predictable from a variety of financial and macroeconomic variables. However, with a few exceptions relatively little evidence exists examining the presence of a long-run relationship between these variables. The present paper...