This article tests for stock market efficiency among 12 Asia-Pacific countries. A novel approach is applied where unit-root tests of real stock prices are embedded within a Markov regime-switching framework. Although standard univariate unit-root tests provide little support for stock price mean...

Markov regime-switching analysis is used to consider the relationship between business confidence and the probability of turning points in cyclical GDP. We find, in an application to New Zealand, that confidence is related to both the deepness and duration of the business cycle and is asymmetric...