Financial ratios have recently reached unprecedented levels and despite price falls remain at ahistoric levels. This is at odds with the theoretical present value model. Whilst, several researchers have attempted to reconcile theory and data using fractional integration and nonlinear techniques,...

The article examines long memory in equity returns and volatility for South Africa using the ARFIMA-FIGARCH model in order to assess the efficiency of the market. The sample considered encompasses a period of equity market reform in order to ascertain if such reforms promoted efficiency in the...

Recent research has suggested that intra-day volatility may possess a component structure, though views differ as to whether this is the consequence of heterogeneous information arrival or the actions of heterogeneous market agents. Estimation results for a HARCH conditional variance model which...

Using recursive and rolling estimation evidence is reported that STAR non-linearity is ever present within the DJIA. Further, the parameters of interest exhibit some temporal dependence. These results suggest that non-linearity is a regular feature of the data that should be modelled and used in...

Using a threshold-error-correction model for non-ferrous metals spot-futures prices the study reports evidence that equilibrium adjustment is quicker when the futures price exceeds the spot price. This supports the view that the commodities consumption value leads investors to retain the asset...