Purpose This paper examines whether there are differences in the nature of the price discovery process across established versus emerging stock markets using a twenty-country sample. Design/methodology/approach The authors analyse security returns for traces of predictability or non-randomness...

[eLarge Bayesian Vector Autoregressions (BVARs) have been a successful tool in the forecasting literature and most of this work has focused on macroeconomic variables. In this paper, we examine the ability of large BVARs to forecast the real price of crude oil using a large dataset with over 100...