Monthly seasonality in the stock prices returns is among the best known calendar anomalies that affect the capital markets. The knowledge about such calendar patterns could be exploited in building successful investment strategies. However, it was revealed that not all the calendar anomalies...

This paper investigates the presence of Gone Fishin’ Effects on the Romanian Capital Market from January 2000 to July 2013. In this analysis we employ daily values of five main indexes of Bucharest Stock Exchange. We use GARCH models to reveal this seasonality not only on indexes returns but...

This paper explores the influence of the foreign exchange rates variation on the returns and volatility of the stock prices from the Romanian capital market for the period of time January 2000 - December 2012. This period was split in four sub-samples corresponding to different stages of the...

This study investigates the impact of real exchange rate uncertainty on import demand of Thailand. The period of study is during July 1997 to December 2011. The results from bounds testing for cointegration show that all variables are cointegrated. Even though there is no short-run impact, but...

This paper explores Month-of-the-year effects in returns and in volatilities of the Bucharest Stock Exchange. Our investigation covers two periods: the first one, from January 2000 to January 2006, corresponds to the last stage of Romania’s transition to a capitalist system, while the second...

This study aims at assessing the effect of government spending in education on economic growth in Cameroon over the period 1980-2012 using a vector error correction model. The estimated results show that these expenditures had a significant and positive impact on economic growth both in short...

This study aims at assessing the effect of government spending in education on economic growth in Cameroon over the period 1980-2012 using a vector error correction model. The estimated results show that these expenditures had a significant and positive impact on economic growth both in short...

In this paper, the variance-ratio test and the ARMA-GARCH (1,1) are used to test whether the Stock Exchange of Thailand is an efficient market. Using monthly market index during January 1987 and December 2006, the variance-ratio test shows that the market index follows a random walk process, and...

This study examines both short-run and long-run causal relationship between stock market capitalization, trade openness and economic growth in Thailand. Quarterly data over the period from the first quarter of 1993 to the fourth quarter of 2013 are used in the analysis. The results from this...

This study examines both short-run and long-run causal relationship between stock market capitalization, trade openness and economic growth in Thailand. Quarterly data over the period from the first quarter of 1993 to the fourth quarter of 2013 are used in the analysis. The results from this...