We assemble data of non-financial stocks on the Shenzhen small and medium-sized enterprise (SME) board over the 2005-2019 sample period to explore the liquidity drivers of listed SMEs. With the complete dominance of retail investors, two competing hypotheses are derived from familiarity. The...

This study employs the rolling bicorrelation statistic to measure the degree of stock price deviations from a random walk for the stock markets of 50 countries over the period 1995-2005. We find that stock markets in economies with low per capita GDP in general experience more persistent price...

We study return predictability of the Dow Jones Industrial Average indices from 1900 to 2009. We find strong evidence that time-varying return predictability is driven by changing market conditions, consistent with the implications of the adaptive markets hypothesis. During market crashes, no...

This study provides evidence of nonlinear long-run relationship between peso-yen exchange rate and its monetary determinants implied by the reduced-form flexible-price monetary model for the Philippines, using Breitung’s (2001) nonlinear cointegration testing procedures. The existence of such...

This study finds that Purchasing Power Parity holds in the long-run for Azerbaijan, Kazakhstan and Kyrgyzstan, based on Breitung’s (2001) rank tests for cointegration. Results from further analysis indicates that nominal exchange rates and relative prices are nonlinearly interrelated. Trade...