This study examines whether mean reversion in REIT prices presents an asymmetric behavior across various quantiles. Distinguished from previous literature that applied the traditional linear unit-root test, a state-of-the-art quantile unit-root test is employed to identify financial asset...

This paper explores whether the hypothesis of energy consumption stationarity is supported in different regions. The stationarity properties indicate that the impact of a reduction in energy consumption or a realignment policy is only temporary, and over time the series will revert back to the...

This paper explores whether the stationarity hypothesis of non-life insurance consumptions is supported during the period 1979–2005 for 31 countries. The stationarity of insurance consumption has important implications for modelling and forecasting insurance activities. On a global scale, this...

This paper explores the long-run and causality relationship between the exchange rate and macroeconomic fundamentals in G-7 countries, employing recently developed tests for the linear cointegration provided by Johansen (1988), the non-parametric cointegration method provided by Bierens (1997),...

This paper investigates whether the efficient market hypothesis holds in stock markets under different economic development levels over the period January 1999 to May 2007. We employ a state-of-the-art panel data stationarity test which incorporates multiple structural breaks. Evidence indicates...

This paper applies the panel seemingly unrelated regressions augmented Dickey-Fuller (SURADF) test to re-investigate the stationarity properties of real life insurance premiums per capita and real gross domestic product (GDP) per capita for 41 countries within three levels of income covering...