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Does feedback trading drive returns of cross-listed shares?

Chen, Jing; Dong, Yizhe; Hou, Wenxuan; McMillan, David G. - In: Journal of international financial markets, … 53 (2018), pp. 179-199

Persistent link: https://www.econbiz.de/10011983852

Stock returns and volatility dynamics in China : does the control of state-owned enterprises (SOEs) matter?

McMillan, David G.; Evans, Pornsawan - In: China finance review international 5 (2015) 2, pp. 103-131

Persistent link: https://www.econbiz.de/10011391707

The interaction between risk, return-risk trade-off and complexity: Evidence and policy implications for US bank holding companies

McMillan, David G.; McMillan, Fiona J. - In: Journal of international financial markets, … 47 (2017), pp. 103-113

Persistent link: https://www.econbiz.de/10011892256

The behaviour of asset return and volatility spillovers in Turkey : a tale of two crises

Bajo Rubio, Oscar; Berke, Burcu; McMillan, David G. - In: Research in international business and finance 41 (2017), pp. 577-589

Persistent link: https://www.econbiz.de/10011914596

The behaviour of the equity yield and its relation with the bond yield : the role of inflation

McMillan, David G. - In: International Journal of Financial Studies : open … 6 (2018) 4, pp. 1-18

Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the...

Persistent link: https://www.econbiz.de/10011963922

Nonlinear dynamics in high-frequency intraday financial data : evidence for the UK long gilt futures market

McMillan, David G.; Speight, Alan E. H. - In: The journal of futures markets 22 (2002) 11, pp. 1037-1057

Persistent link: https://www.econbiz.de/10001713575

The intraday relationship between volume and volatility in LIFFE futures markets

Ap Gwilym, Owain; McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 9 (1999) 6, pp. 593-604

Persistent link: https://www.econbiz.de/10001525288

Asymmetric return patterns : evidence from 33 international stock market indices

Evans, Twm; McMillan, David G. - In: Applied economics letters 16 (2009) 7/9, pp. 775-779

Persistent link: https://www.econbiz.de/10003854963

Does non-linearity help us understand, model and forecast UK stock and bond returns : evidence from the BEYR

McMillan, David G. - In: International review of applied economics 26 (2012) 1, pp. 125-143

Persistent link: https://www.econbiz.de/10009419538

Daily FX volatility forecasts : can the GARCH (1,1) model be beaten using high-frequency data?

McMillan, David G.; Speight, Alan E. H. - In: Journal of forecasting 31 (2012) 4, pp. 330-343

Persistent link: https://www.econbiz.de/10009576375