Employing annual returns generated from overlapping monthly price indexes for the G-7 stock markets, this paper examines asymmetry and common nonlinearities in long-horizon stock returns. Identifying widespread nonlinearities based on LSTAR or ESTAR models, we find that the asymmetric nonlinear...

This paper examines the random walk hypothesis (RWH) and the martingale difference hypothesis (MDH) for the Australian dollar and five Asian emerging currencies relative to three benchmark currencies. We use Wright's (2000) non-parametric procedure to test the RWH and Kuan and Lee's (2004)...