The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock markets. The objective is to identify major...

This paper finds that in the Canadian sovereign bond market, a larger increase in government maturity-weighted debt supply is associated with lower bond market liquidity over the subsequent month. The result is both statistically and economically significant, stronger for the long-term than the...

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

Climate science finds that the trend towards higher global temperatures exacerbates the risks of droughts. We investigate whether the prices of food stocks efficiently discount these risks. Using data from thirty-one countries with publicly-traded food companies, we rank these countries each...

We re-visit a puzzling result that in U.S. post-WW II data the dividend price ratio can predict aggregate returns but not dividend growth. We find that predictive regressions are sensitive to the method used to aggregate firm-level data. Using value weighted firm-level data we find strong...

There is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not to expected dividend growth - e.g. Cochrane's presidential address (Cochrane (2011)). We show that this pattern, although valid for the aggregate stock market, is not true for...

The Efficient Market Hypothesis is one of the most popular subjects in the empirical finance literature. Previous studies in the stock markets, which are mostly based on fixed time price variations, do not provide conclusive findings, in which evidence of short-term predictability varies...

As a banking system health indicator and risk premium, the Libor-OIS spread has attracted great interest during recent years. Despite the recent Libor fixing scandal, our study based on five major currencies can still shed insights on the true determinants of the Libor-OIS spreads under...

The temporal relation between stock index and Index futures has been and continues to be of interest of regulators, academicians and practitioners alike for a number of reasons such as market efficiency volatility and arbitrage. In perfectly efficient markets profitable arbitrage should not...