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Persistent link: https://www.econbiz.de/10011005833
This paper studies the economic significance of stock and bond return predictability in UK market over period February 1991 to May 2002, based on a real-time investment simulation with only publicly available information. We use ten macroeconomic and financial variables as the predicting...
Persistent link: https://www.econbiz.de/10012786575
This paper studies the economic significance of stock and bond return predictability in UK market over period February 1991 to May 2002, based on a real-time investment simulation with only publicly available information. We use ten macroeconomic and financial variables as the predicting...
Persistent link: https://www.econbiz.de/10009458284
This paper investigates empirically the change(s) in the long-run relationship(s) between the stock prices of eight Far East countries around the Asian financial crisis of 1997-1998. Further tests are conducted to check the change in the influence of the Japanese and the US stock markets in the...
Persistent link: https://www.econbiz.de/10009458283
Persistent link: https://www.econbiz.de/10005221851
This paper empirically investigates the effects of the Asian financial crisis of 1997-98, and the period immediately afterwards, on the time-varying beta of four industrial sectors (chemical, finance, retail and industry) of Indonesia, Singapore, South Korea, and Taiwan. We apply daily data from...
Persistent link: https://www.econbiz.de/10008871398
Persistent link: https://www.econbiz.de/10008732614
This paper examines the pattern of interaction among Asian exchange rates, and how the pattern changed before and during/after the Asian financial crisis of 1997-98. The empirical tests are conducted using daily nominal exchanges rates based on the US dollar and the Japanese yen from several Far...
Persistent link: https://www.econbiz.de/10012727804
Persistent link: https://www.econbiz.de/10010108700
This paper pioneers the study of the economic significance of the monthly seasonality in the emerging markets. Previous literature on the seasonal anomaly, mainly on big and developed markets, has often reported that the anomaly is insignificant after considering the transaction costs. Using...
Persistent link: https://www.econbiz.de/10012740863