This paper shows that in the almost four decades from January 1965 through to December 2003, US stock prices closely followed the 4-year Presidential Election Cycle. In general, stock prices fell during the first half of a Presidency, reached a trough in the second year, rose during the second...

This paper develops a new test, the trinomial test, for pairwise ordinal data samples to improve the power of the sign test by modifying its treatment of zero differences between observations, thereby increasing the use of sample information. Simulations demonstrate the power superiority of the...

Testing for stochastic dominance among distributions is an important issue in the study of asset management, income inequality, and market efficiency. This paper conducts Monte Carlo simulations to examine the sizes and powers of several commonly used stochastic dominance tests when the...

The traditional linear Granger test has been widely used to examine the linear causality among several time series in bivariate settings as well as multivariate settings. Hiemstra and Jones [19] develop a nonlinear Granger causality test in bivariate settings to investigate the nonlinear...

The technique of ANOVA has been widely used in economics and finance where the observations are usually time-dependent but the model itself is treated as independent in time. In this paper, we extend an ANOVA model by relaxing the assumption of independence in time. We further relax the...

The paper examines how empirical models can be constructed to describe the dependence of the error in fitting data to parametric models of probability distributions on the type of distribution, sample size, parent parameter values and percentiles of interest. Such models are important in...

The fast and steady economic growth in China during the 1990s has attracted much international attention. Using the three most recent Chinese input–output tables, this paper investigates industry structure and inter-industry relationships and the relationship of both to economic growth. The...

Although the generalised autoregressive conditional heteroskedasticity (GARCH) model has been quite successful in capturing important empirical aspects of financial data, particularly for the symmetric effects of volatility, it has had far less success in capturing the effects of extreme...