Some economists suggest that the Meese-Rogoff puzzle is equally applicable to the stock market, in the sense that no model of stock prices can outperform the random walk in out-of-sample forecasting. We argue that this is not a puzzle and that we should expect nothing, but this result if...

Purpose – The structure of the Malaysian fund market presents a unique setting in which to examine behavioural and cultural differences in the performance of fund managers. The purpose of this paper is to utilise Taylor's extension of the tournament model of Brown et al. who argued that using...

The exchange rate of the Kuwaiti dinar against the Japanese yen is modelled in terms of the activities of fundamentalists and technicians as well as the effect of the exchange rate arrangement. The results show that market forces, as represented by the activities of traders, play a role in the...

The argument that is put forward in this paper is that failure to represent stochastic trend and stochastic seasonality in an AIDS model leads to a misspecified and possibly structurally unstable model. This proposition is verified by estimating an AIDS model of the demand for alcoholic...

Imad Moosa shows that the effect of triangular arbitrage in the forward market is similar to the combined effect of triangular arbitrage in the spot market and covered interest arbitrage. He also shows that when the forward rates are inconsistent then this implies inconsistency of the spot rates...