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...

We examine both in-sample and out-of-sample predictability of South African stock return using macroeconomic variables. We base our analysis on a predictive regression framework, using monthly data covering the in-sample period between 1990:01 and 1996:12, and the out-of sample period commencing...

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....

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...

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...

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...

This study examines the sensitivity of the Spanish stock market at the industry level to movements in oil prices over the period 1993–2010, paying special attention to the presence of endogenously determined structural changes in the relationship between oil price changes and industry equity...

In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the...

A significantly positive risk–return relation for the S&P 100 market index is detected if the implied volatility index (VIX) is allowed for as an exogenous variable in the conditional variance equation. This result holds for 4 alternative GARCH specifications, irrespective of the conditional...