Forecasting the nominal exchange rate has been one of the most difficult exercises in economics. This study employs the Frankel (1979) monetary model of exchange rate to examine the long run behavior of Pakistan rupee per unit of US dollar over the period 1982:Q1 to 2012:Q2. Johansen and...

This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...

This paper investigates the dynamic causal linkages in the daily returns among seven major conventional and Islamic stock indices in East Asia through the application of the time series techniques. We analyse seven conventional and Shariah -compliant stock indices (such as, FTSE Shariah China...

The link between stock market development and economic activity has always been the subject of considerable debate in the field of economics and it raises empirical question whether stock market development influences economic activity or whether it is a consequence of increased economic...

Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...

The furore and chaos created by the Asian financial crisis have ignited many studies on numerous subjects, and it is believed that the crisis has changed the way nations being administered and policies formed and implemented especially those regarding monetary and fiscal policies. Johansen...

The furore and chaos created by the Asian financial crisis have ignited many studies on numerous subjects, and it is believed that the crisis has changed the way nations being administered and policies formed and implemented especially those regarding monetary and fiscal policies. Johansen...

The goal of this paper is to examine the sustainability of the trade deficit of Turkey with cointegration techniques allowing for structural breaks. We follow Husted (1992) model, which shows that if a country’s exports and imports are cointegrated, and if the cointegrating vector is (1,-1),...

Competitive behavior between players in a mature market can have a different structure than those in growing markets. Pricing component of the marketing mix is less relied upon to expand market share in growing markets, while there is a greater reliance upon product differentiation and building...

We develop an investigation regarding the determinants of the stock prices in six Latin American emerging markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru). We test the traditional Ohlson model and an international version of it. The international model includes the Dow Jones index...