This study employs the panel convergence methodology developed by Phillips and Sul (2007) to explore the convergence dynamics of international equity markets. The analysis considers both country and industry effects. While traditional portfolio management strategies usually follow a top-down...

This paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock-market returns in a sample of eight countries -- Australia, Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. For each country, the...

This article considers the structural stability of the relationship between the real housing price and real GDP per capita for an annual sample that includes the Great Depression. We test for structural change in parameter values using a sample of annual US data from 1890 to 1952. The article...