Recently developed methodology to allow the possibility of a stochastic unit root process as an alternative to a fixed parameter unit root model is applied to six national indices of stock market prices. Evidence supporting the stochastic unit root hypothesis is found. However, the...

This paper investigates the claim that the common finding of cointegration between spot and lagged forward exchange rates reflects the existence of covered interest arbitrage and not, as is generally accepted, long-run market efficiency. Breuer and Wohar's (1996) methodology is employed to match...

Monthly data on the $US/ECU exchange rate are analysed in light of the random walk hypothesis. A battery of tests, including procedures that are robust to conditional heteroscedasticity, are applied against linear alternatives to departures from the random walk. These tests are all based on the...