This study investigates the dynamic effect of credit spread on the performance of banking sector. Based on the analysis of monthly data from 1941M2 to 2013M6, the results indicate that return on the S&P 500 Banks Index 4010 significantly drops following credit spread shock. The decline becomes...

This study analyzes stock market performance in 70 countries to determine if return in month T-1 is useful for forecasting return in the current month. The analysis of full sample shows that the average return in each of the preceding months is useful for forecasting return in the respective...

This study examines the dynamics between short interest and credit spread. Based on the analysis of monthly data from 1931M6 to 2012M12, the results show that credit spread significantly jumps following the shock to the NYSE short-interest ratio. The Granger causality Wald test indicates a...

This study examines the extent to which long-term private sector external debt impacts stock market return across 26 emerging and frontier markets. The results indicate a statistically significant, positive relationship (r = 0.527, p 0.01) between the average long-term private sector external...

This study is set up to investigate how returns on three groups (developed, emerging and frontier) of global stock markets respond to shock to investment opportunities in the United States using aggregate Tobin's q as a proxy. The Granger-causality is computed to determine the causal linkage...

Based theoretically and empirically on the international transmission and spill-over, this study is set up to examine how returns on three groups (developed, emerging and frontier) of global stock markets respond to the U.S. credit spread shock. The Granger-causality is computed to determine the...

This study investigates the dynamic response of the change in short interest ratio in the equity market (SIR) to the change in aggregate Tobin's q ratio (∆TBQ). Looking at the quarterly data from 1951Q4 to 2012Q4, the VAR results show that SIR drops following the shock to ∆TBQ after one...

This study examines the dynamic response of S&P 500 dividend yield (DY) and S&P 500 price-to-earnings ratio (PE) to corporate profit growth (CP) shock. Using the VAR model to analyze quarterly data from 1951Q4 to 2012Q4, the results show that both DY and PE significantly drop immediately...

This study examines if the change in aggregate Tobin's q ratio (∆TBQ) can dynamically forecast return on the S&P 500 (SP). The VAR results from analyzing quarterly data from 1951Q4 to 2012Q4 show that the response of SP to ∆TBQ shock becomes significantly positive immediately. The...

This study examines how the percentage change in S&P 500 dividend yield (DY) dynamically responds to shock to the change in aggregate Tobin's q ratio (∆TBQ). The results from the VAR analysis of quarterly data from 1951Q4 to 2012Q4 show that DY significantly declines immediately following the...