This study finds significant immediate adverse impact of the novel coronavirus (COVID-19) pandemic on tourism shares listed in the Shanghai and Shenzhen stock exchanges, in terms of breadth and depth. Overall, prices of these shares plunged by 20% in three consecutive days in response to...

The objectives of this paper are to provide empirical evidences on whether i) government policies represented by mortgage rate and loan-to-value ratio are associated with the dynamics of the New Zealand Residential Price Index, ii) macroeconomic factors such as house price to income ratio and...

This study examines the existence of day-of-the-week effect and asymmetrical market behavior in the Bombay Stock Exchange (BSE) over the pre-9/11 and post-9/11 sub-periods. This study found the existence of significant positive Monday effect and negative Friday effect during the pre-9/11...

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 investigates the linearity and stationarity properties of government bond returns for the G7 economies. Our results from Luukkonen et al. (1988) linearity test reveal the nonlinear nature of all of the G7 bond returns. Furthermore, we had determined that they are stationary by the...