A general procedure is proposed to identify changes in asset return interdependence over time using entropy theory. The approach provides a decomposition of interdependence in terms of comoments including coskewness, cokurtosis and covolatility as well as more traditional measures based on...

This paper examines whether momentum drives the disposition effect and vice versa in the US stock market. The results from the analysis of the Fama-Macbethregressions show that the disposition effect drives momentum but not the other way around. Furthermore, we find that this relationship varies...

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...

Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index (VIX) and stock market returns, with data from 15 countries representing both developed and emerging economies.1 We also examine the dynamic variation, if any in the nature of the...

Stock market return is one of financial variables that contain information to forecast real activity such as industrial production and real GDP growth. However, it is still controversial that stock market return can have a predictive content on real activity. This paper attempts to investigate...

This study re-visits the health-income nexus for Malaysia using alternative econometric techniques which addressed on the small sample problem. This study covers the period of 1970-2009. Based on the appealing small sample properties, we apply the bounds testing approach to cointegration and the...

This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following...

We estimate the steady state growth rate for the Nordic countries using a “knowledge economy” approach. An endogenous growth framework is employed, in which total factor productivity is a function of human capital (measured by average years of education), trade openness, research and...

How does the yield curve respond to a jump in financial uncertainty? We address this question by conducting a local projections analysis with US monthly data, period: 1962- 2018. The state-of-the-art financial uncertainty measure proposed by Ludvigson, Ma, and Ng (2019) is found to predict...