We show that the behaviour of the real exchange rates of the UK, Germany, France and Japan has been characterized by structural breaks, which changed the adjustment mechanism. In the context of a Time-Varying Smooth Transition Autoregression (TV-STAR) of the kind introduced by Lundbergh et al....

This article investigates comovement in stock markets between the emerging economies of Central and Eastern Europe (CEE) and the developed markets of Western Europe. Three approaches are employed to examine this issue. The first two approaches, time-varying realized correlation ratios and...

Frank and Jagannathan (1998) compare ex-dividend drop in share price to the dividend paid in a tax-free environment and argue that market microstructure effects may explain a ratio of less than one. This study examines whether the results are supported in the UK gilt market where tax effects are...