Using weekly share return data from a sample of five Pacific Rim and the UK and US stock markets over the period 1 January 1988-14 October 1994, this paper examines the relationship between conditional return volatility, market performance and news arrival at the market-place. Our results...

We consider the response of both nominal and real commodity prices on world markets to real and nominal shocks by hypothesizing that nominal shocks can permanently affect nominal commodity prices, but can have only temporary effects on real commodity prices. Real shocks, in contrast, can have...

Examining UK companies traded on the London Stock Exchange, the evidence reported in this note implies that prior to mid-1989 smaller companies consistently outperformed the market portfolio. Since then, however, the 'size effect' has disappeared.

Using 33 years of data this article considers linkages between New Zealand, Australia and various other Pacific-Basin equity markets. Using time-varying parameter modelling techniques we show that the New Zealand stock market returns have become increasingly sensitive to perturbations in the...

[fre] The Efficiency of CAC Stock. Price Forecasts. A Survey Based Perspective. . Dans cet article, nous nous proposons d'analyser les problèmes relatifs à l'anticipation des cours boursiers en utilisant les réponses à une enquête qualitative sur l'indice général CAC. Nous examinons la...

Using Australian capital city data from 1984Q3--2008Q2, this paper utilizes a dynamic present value model within a VAR framework to construct time series of house prices depicting what aggregate house prices should be given expectations of future real disposable income - the "fundamental price"...

Using a dynamic version of the present value model and a range of developed and Asian emerging markets, this article considers estimates of stock market prices given expectations on dividends and earnings and compares these fundamental stock prices with actual stock prices. The reported...