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Asymmetric patterns in international stock prices : evidence of random walk and reverting behaviour

McMillan, David G. - In: Journal of world economic review 14 (2019) 2, pp. 243-260

Persistent link: https://www.econbiz.de/10012311001

Asymmetric patterns in international stock prices : evidence of random walk and reverting behaviour

McMillan, David G. - In: International economics & finance journal : (IEFJ) 2 (2007) 1/2, pp. 109-126

Persistent link: https://www.econbiz.de/10003791280

Macroeconomic variables and long-term stock market performance : a panel ARDL cointegration approach for G7 countries

Humpe, Andreas; McMillan, David G. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7

Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices,...

Persistent link: https://www.econbiz.de/10013179569

Time-varying correlations and interrelations : firm-level-based sector evidence

Evans, P.; McMillan, David G.; McMillan, Fiona J. - In: The journal of asset management 18 (2017) 3, pp. 209-221

Persistent link: https://www.econbiz.de/10011704219

Spillovers between output and stock prices : a wavelet approach

McMillan, David G.; Tiwari, Aviral Kumar - In: Studies in economics and finance 33 (2016) 4, pp. 625-637

Persistent link: https://www.econbiz.de/10011722563

Nonlinear predictability of stock market returns : evidence from nonparametric and threshold models

McMillan, David G. - In: International review of economics & finance : IREF 10 (2001) 4, pp. 353-368

Persistent link: https://www.econbiz.de/10001651410

A panel analysis of the stock return-dividend yield relation : predicting returns and dividend growth

McMillan, David G.; Wohar, Mark E. - In: The Manchester School 81 (2013) 3, pp. 386-400

Persistent link: https://www.econbiz.de/10009755542

Stock return predictability and dividend-price ratio : a nonlinear approach

McMillan, David G.; Wohar, Mark E. - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 351-365

Persistent link: https://www.econbiz.de/10008811291

Forecasting sector stock market returns

McMillan, David G. - In: The journal of asset management : a major new, … 22 (2021) 4, pp. 291-300

Persistent link: https://www.econbiz.de/10012581629

The predictive ability of stock market factors

Elgammal, Mohammed Mohammed; Ahmed, Fatma Ehab; … - In: Studies in economics and finance 39 (2022) 1, pp. 111-124

Persistent link: https://www.econbiz.de/10012798502