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...

Using the real effective exchange rate (REER) data of sixty-six developing countries and a more extensive monthly dataset from 1980:1 through 2009:10 (i.e., 358 observations), this study examines whether the REER is stationary, using two approaches. The two tests are the KPSS and the KSS test....

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)...