In the literature on the growth-financial development relationship, many different measures of financial development have been suggested. These are generally highly correlated and are frequently subject to measurement error. In this article, principal components are used as a means of measuring...

This paper investigates whether investment in information technology systems affects bank profitability in the UK during the period 1976-1996. The results show that, when the other factors used in the literature are included, the number of automated teller machines installed by a bank has a...

This paper empirically analyses the equilibrium value of the peseta in the light of recent contributions in this field of study. Following MacDonald (IMF Working Paper 97/21, 1997), the approach to the long-run relationship between the real effective exchange rate of the peseta and its...

This study addresses the issue of volatility persistence in asset markets by analysing the behaviour of daily ratios of highest and lowest prices for a number of different assets both inter-war and post-war. These series include sterling exchange rates, S&P futures prices, the FT30 and the price...

A number of authors have found significant cointegrating relationships between spot exchange rates and domestic and foreign price levels for the major currencies where the magnitude of the coefficients makes economic interpretation of PPP cumbersome. Using theoretically well motivated nonlinear...

The answer to this question, based on a study of 1000 greyhound races, is 'no'. Although the efficient markets hypothesis asserts that speculative market prices optimally encapsulate all relevant information, it is found that 'Shin probabilities' (based on Shin, 1993), in which a dog's winning...

This article examines the dynamics of the linkages between Shanghai and Hong Kong stock indices. While the volatility linkage is analysed by a Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MVGARCH) framework, the dependence of returns is examined by a copula approach....

A new panel unit root by Chang (Journal of Econometrics, 110, 261-92, 2002) is employed on a set of financial ratios with a view to improving the power of unit root tests when applied to a relatively small number of observations (in the present case 38 annual observations). The test is...