Adopting a multivariate Markov-switching-VAR model (Krolzig, 1997) and a recently developed regime-dependent impulse response analysis technique (Ehrmann <italic>et al</italic>., 2003), this article investigates the dynamic relationships among the stock markets of the US, Australia and New Zealand. Our results...

This article uses linear and nonlinear Granger causality tests to study Granger causal relations among the stock markets of Greater China. In sharp contrast to the results disclosed by its linear counterpart, a nonlinear causality test provides evidence of isolated bi-directional causal...

We investigate whether the US equity market exhibits underreaction or overreaction. More specifically, we study the directional and magnitude effects associated with abnormal market reaction. The directional effect is the phenomenon that an extreme price movement will be followed by a price...

This article employs a Fractionally Integrated Vector Error Correction Model (FIVECM) to examine the return transmission between the Australian and New Zealand stock markets and the Australian and the United States stock markets. We augment the FIVECM with a multivariate GARCH model. In so...

This paper focuses on the role of technical analysis in signalling the timing of stock market entry and exit. Test statistics are introduced to test the performance of the most established of the trend followers, the Moving Average, and the most frequently used counter-trend indicator, the...