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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

Short-sale constraints and efficiency of the spot-futures dynamics

McMillan, David G.; Philip, Dennis - In: International review of financial analysis 24 (2012), pp. 129-136

Persistent link: https://www.econbiz.de/10009688155

Macroeconomic variables and long-term stock market performance : a panel ARDL cointegration approach for G7 countries

Humpe, Andreas; McMillan, David G. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7

Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices,...

Persistent link: https://www.econbiz.de/10013179569

Portfolio constituency rules and the value premium in the small-cap space

Scislaw, Kenneth E.; McMillan, David G. - In: Managerial finance 41 (2015) 5, pp. 418-436

Persistent link: https://www.econbiz.de/10011335043

Macroeconomic variables and long-term stock market performance: A panel ARDL cointegration approach for G7 countries

Humpe, Andreas; McMillan, David G. - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10014001574

Stock return predictability and market integration : the role of global and local information

McMillan, David G. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18

benchmark finds supportive evidence for the former approach. It is hoped that the results from this paper will be informative on …

Persistent link: https://www.econbiz.de/10011487829

Is there an ideal in-sample length for forecasting volatility?

Kambouroudis, Dimos S.; McMillan, David G. - In: Journal of international financial markets, … 37 (2015), pp. 114-137

Persistent link: https://www.econbiz.de/10011475043

Time-varying correlations and interrelations : firm-level-based sector evidence

Evans, P.; McMillan, David G.; McMillan, Fiona J. - In: The journal of asset management 18 (2017) 3, pp. 209-221

Persistent link: https://www.econbiz.de/10011704219

A truly market-value weighted commodity index

Ludwig, Michael; McMillan, David G.; McMillan, Fiona J. - In: The journal of asset management 18 (2017) 3, pp. 222-242

Persistent link: https://www.econbiz.de/10011704229

Spillovers between output and stock prices : a wavelet approach

McMillan, David G.; Tiwari, Aviral Kumar - In: Studies in economics and finance 33 (2016) 4, pp. 625-637

Persistent link: https://www.econbiz.de/10011722563