Using data from five major stock markets and a vector autoregression estimation procedure underpinned by the traditional intertemporal capital asset pricing model, initial evidence suggests that the UK investing community is particularly prejudiced in terms of short-termist behaviour. The...

Using monthly, semi-annual and annual sampling frequencies from February 1974 to June 1996, we reject the mean-variance efficiency of the Australian stock market while supporting the view that conditional variances are not constant in time. Results indicate that unexpected movements in key...