This study examines the causal link between short interest ratio and equity market return and their respective impulse response functions. Based on the analysis of monthly data from 1931M6 to 2012M12, the results reveal that there is a causal link between NYSE short interest ratio and the...

This paper aims to examine the contemporaneous relationship between trading volume and returns in the ETF market taking the stock market as a contrast. While past research using correlation analysis and OLS method to specify a linear regression model only catches the average relationship between...

This paper is set up to dissect the covariance patterns of the returns on the commodity and equity markets. Analyzing monthly return data from 1970:M1 to 2013M7, the results show that returns on the commodity and equity markets co-vary weakly in the opposite direction (r=-0.12) in the 1970s,...

This paper examines if firms in the United States with quality training programs can enjoy above-the-market-average benefits and performance by analyzing risk premiums and risk-adjusted excess returns of a portfolio of public firms in the United States, which are ranked consecutively from 2006...

This paper examines if firms with the most racially diverse employees enjoy superior benefits and performance above the market average. The problem of the study is to analyze risk premiums and risk-adjusted excess returns of a portfolio of firms with most diverse employees in the United States...

Using the vector autoregression (VAR) analysis, this study empirically documents the impulse response functions of financial stress and market risk premiums and performs a causality test of these two variables. The analysis of the monthly changes of the Federal Reserve Bank of St. Louis...

This paper investigates if the changes in economic policy uncertainty in the United States can predict the performance of stock markets in South America (Argentina, Brazil, Chile, and Colombia, Peru, and Venezuela). Based on the analyses of monthly returns of the Buenos Aires SE Merval Index...

This study examines the response of stock markets in China and Japan to the changes in economic policy uncertainty in the United States. The analysis of data of monthly changes in economic policy uncertainty in the US and monthly returns on Shanghai Composite Index from 1991:1 to 2012:5 and...

This study examines the impact of the changes in economic policy uncertainty in the United States on the stock markets of the Asian Tiger economies (Hong Kong, Singapore, South Korea, and Taiwan) because trades between Asian Tiger economies and the US have increased significantly in recent...

This paper investigates the effect of economic policy uncertainty in the United States on stock market performance in the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine. The analyses of monthly returns on the major stock market indices in these countries from 1985:2 to...