This study uses the unexpected stock return as the threshold variable to proxy for the business cycle and construct the threshold vector error correction model (TVECM) to examine whether an asymmetric causal relationship exists between the housing return and four macroeconomic variables, namely,...

This study examines the impact of financial liberalization on the returns and volatility of eleven emerging stock markets. Time points of structural changes in the data are detected first based on the iterated cumulative sums of squares (ICSS) algorithm developed by Incl?n and Tiao (1994). Using...