Purpose: This study aims to explore the oil–stock market nexus from a novel angle by examining the predictive role of oil prices over the excess returns associated with the market, size, book-to-market and momentum factors via bivariate cross-quantilograms. Design/methodology/approach: This...

Purpose: This paper aims to examine the weak form of efficiency for price series of four precious metals, i.e. gold, silver, platinum and palladium, using a generalized spectral method. Design/methodology/approach: The method has the advantage of detecting both linear and non-linear serial...

Purpose This paper seeks to examine the nature of spillovers between output and stock prices using both a long annual time series spanning 200 years and a shorter but quarterly observed data set. Design/methodology/approach The authors’ particular interest is to examine both the time-varying...