We examine the use of the random walk hypothesis on the BRICS stock indices. Our examination of the stock indices uses a recently developed wavelet-based unit root test by Fan and Gençay (2010) along with a battery of unit root tests. We also examine the sensitivity of the wavelet-based unit...

The relationship between stock market and economic growth is tested for Portugal (1993–2011), which is a small open economy dependent on bank financing. The relationship between economic growth and bank financing is also appraised. Using Vector Autoregressive (VAR) modeling, Granger causality,...

This study constructs a variety of GARCH models with the consideration of the generalized error distribution to analyze the relationship between the cloud cover and stock returns in Taiwan in the whole sample period (1986 to 2007) and in the two sub-sample periods (1986 to 1996 and 1997 to...

This study examines latent shifts in the conditional volatility and correlation for the U.S. stock and T-bond data using the two-state Markov-switching range-based volatility and correlation models. This paper comes up with clear evidence of volatility regime-switching in stock indices and...

In order to shed new light on the influence of volume and economic fundamentals on the long-run volatility of the Chinese stock market we follow the methodology introduced by Engle et al. (2009) and Engle and Rangel (2008) to account for the effects of macro fundamentals, and augment it with...

This paper examines the financial contagion in an emerging market setting by investigating the contagion effects of GIPSI (Greece, Ireland, Portugal, Spain and Italy), USA, UK and Japan markets on BRIICKS (Brazil, Russia, India, Indonesia, China, South Korea and South Africa) stock markets....

This paper re-examines the efficient market hypothesis (EMH) in the Turkish stock market by utilizing the recent developments in nonlinear unit root tests. To this end, we first employ the linearity test developed by Harvey et al. (2008) and then carry out the nonlinear ESTAR unit root test...

In this paper, we examine the predictive ability, both in-sample and the out-of-sample, for South African stock returns using a number of financial variables, based on monthly data with an in-sample period covering 1990:01 to 1996:12 and the out-of-sample period of 1997:01 to 2010:04. We use the...

Investors use mean reversion model to make decisions on which stocks should be taken in their portfolios according to their mean values. The first goal of the paper is to test the validity of the mean reversion model in emerging markets. Second, it aims to determine the best portfolio investment...

In this paper, we use the common structural break test suggested by Bai et al. (1998) to test for a common structural break in the stock prices of the US, the UK, and Japan. On the basis of the structural break, we divide each country's stock price series into sub-samples and investigate whether...