Fama and French (1989) identify two useful variables for forecasting expected asset returns: the default and term spread. Jensen et al. (1996) show that the ability of default and term spreads to forecast expected returns is dependent upon the monetary environment. Motivated by the theoretical...

Recent evidence has suggested that a model capable of capturing multiple volatility dynamics best describes daily exchange rate volatility. Estimation of a model that can capture long-run and short-run volatility movement also allows issues relating to financial and economic integration between...

Using 33 years of data this article considers linkages between New Zealand, Australia and various other Pacific-Basin equity markets. Using time-varying parameter modelling techniques we show that the New Zealand stock market returns have become increasingly sensitive to perturbations in the...

Using a dynamic version of the present value model and a range of developed and Asian emerging markets, this article considers estimates of stock market prices given expectations on dividends and earnings and compares these fundamental stock prices with actual stock prices. The reported...

Using weekly share return data from a sample of five Pacific Rim and the UK and US stock markets over the period 1 January 1988-14 October 1994, this paper examines the relationship between conditional return volatility, market performance and news arrival at the market-place. Our results...