Purpose: This paper aims to examine the behaviour, both contemporaneous and causal, of stock and bond markets across four major international countries. Design/methodology/approach: The authors generate volatility and correlations using the realised volatility approach and implement a general...

Purpose: The purpose of this paper is to consider the economic information content within several popular stock market factors and to the extent to which their movements are both explained by economic variables and can explain future output growth. Design/methodology/approach: Using US stock...

Purpose – In order to assess the informational efficiency of African equity markets (AEMs), the purpose of this paper is to examine long memory in both equity returns and volatility using auto-regressive fractionally integrated moving average (ARFIMA)-FIGARCH/hyperbolic GARCH (HYGARCH) models....

Purpose – In order to assess the informational efficiency of African equity markets (AEMs), the purpose of this paper is to examine long memory in both equity returns and volatility using auto‐regressive fractionally integrated moving average (ARFIMA)‐FIGARCH/hyperbolic GARCH (HYGARCH)...

Purpose This paper seeks to examine the nature of spillovers between output and stock prices using both a long annual time series spanning 200 years and a shorter but quarterly observed data set. Design/methodology/approach The authors’ particular interest is to examine both the time-varying...