Showing 1 - 10 of 87
This paper tests for the martingale hypothesis in the stock prices of a group of Asian markets. We use new multiple variance ratio tests based on the wild bootstrap and signs. These are non-parametric finite sample tests, which do not rely on large sample theories for statistical inference. This...
Persistent link: https://www.econbiz.de/10005199005
This paper provides strong evidence of time-varying return predictability of the Dow Jones Industrial Average index from 1900 to 2009. Return predictability is found to be driven by changing market conditions, consistent with the implication of the adaptive markets hypothesis. During market...
Persistent link: https://www.econbiz.de/10010572322
This study measures the degree of short-horizon return predictability of 50 international equity markets and examines how its variation is related to the indicators of equity market development. Two multiple-horizon variance ratio tests are employed to measure the degree of return...
Persistent link: https://www.econbiz.de/10008670842
Persistent link: https://www.econbiz.de/10009801736
This paper contributes to the debate over immigrant 'quality' by examining whether or not a double-negative effect on the earnings of female immigrants exists in Canada. Contrary to popular belief, this study observes that labour market adjustments occur at a faster rate for female immigrants...
Persistent link: https://www.econbiz.de/10005470680
Using the monthly data for more than 1700 Australian stocks over the period from 1990 to 2009, we investigate whether industry portfolio returns predict the aggregate market. We find that a few industries significantly lead the market even controlling for well-recognized market predictors....
Persistent link: https://www.econbiz.de/10011116397
This paper empirically investigates the usefulness of a hybrid model consisting of macroeconomic fundamentals and market microstructure variables in examining the dynamics of the Uganda shilling/US dollar foreign exchange rates. We employ macroeconomic fundamentals that are guided by the...
Persistent link: https://www.econbiz.de/10011190226
This paper employs a mixed two-stage approach to estimate and explain differences in the cross-country efficiency of ten Australian, five UK and eight Canadian banks over the period 1988 to 2008 using stochastic distance, cost and profit frontiers. The first stage estimates efficiency scores for...
Persistent link: https://www.econbiz.de/10011241373
The Fama-French three-factor model (1993) has been extensively used to study the pricing of nonfinancial stocks. This study provides the first examination of the pricing of Australian financial stocks using the Fama-French framework. The four-factor model (market, size, book-to-market and...
Persistent link: https://www.econbiz.de/10010824076
This paper examines the spill-over effects of interest rate risk and return on Australian and US financial firms using a dynamic conditional correlation GARCH model. Australian banks exhibit negative exposure to changes in both domestic and US interest rates, and US interest rate volatility is...
Persistent link: https://www.econbiz.de/10010784958