This study revisits the issue of REITs market efficiency for the US having discovered two notable gaps. Noting the complexities, structural changes and nonlinearities in modern financial markets, we employ the fractional integration technique which performs better than other commonly used...

Business confidence matters for future growth as it relies on opinion surveys of developments in production activities, orders and stocks of finished products. Is it then affected by economic policy uncertainty and oil price asymmetries in the OECD countries? With limited evidence in the...

We examine the predictive ability of economic policy uncertainty on stock returns of selected OPEC countries. In order to deal with certain statistical properties of the predictors, which include serial correlation, persistence, conditional heteroskedasticity, and endogeneity effects, wse...