In this paper, we use the common structural break test suggested by Bai et al. (1998) to test for a common structural break in the stock prices of the US, the UK, and Japan. On the basis of the structural break, we divide each countries stock price series into sub-samples and investigate whether...

In this paper, we examine the unit root null hypothesis for per capita total health expenditures, per capital private health expenditures, and per capital public health expenditures for 29 OECD countries. The novelty of our work is that we use a new nonlinear unit root test that allows for one...

In this paper we propose a new ADF-type test for unit roots which accounts for two structural breaks. We consider two different specifications: (a) two breaks in the level of a trending series; and (b) two breaks in the level and slope of trending data. The breaks whose time of occurance is...

In this note, we consider the relationship between oil price volatility and firm returns for 560 firms listed on the New York Stock Exchange. Using daily time series data from 2000 to 2008, we find that oil price volatility increases firm returns for the majority of the firms in our sample.

The aim of this paper is to examine the impact of US macroeconomic conditions—namely, exchange rate and short-term interest rate—on the stocks of seven Asian countries (China,India, the Philippines, Malaysia, Singapore, Thailand, and South Korea). Using daily data for the period 2000 to...

In this paper, using time series data for the period 2 January 1998 to 31 December 2008, for 560 firms listed on the NYSE, we examine whether firm volatility is related to market volatility. The main contribution of this paper is that we develop the analytical framework motivating the...

In this paper, we use the common structural break test suggested by Bai et al. (1998) to test for a common structural break in the stock prices of the US, the UK, and Japan. On the basis of the structural break, we divide each country‟s stock price series into sub-samples and investigate...

While the calendar anomalies and financial market relationship is one of the oldest relationships in financial economics, we treat this relationship differently by addressing two unknown issues: (a) do calendar anomalies have a heterogeneous effect on firm returns and firm volatility depending...

In this paper we study the relationship between output and inflation for India, Brazil, and South Africa using the EGARCH model. For India and South Africa, we find evidence for: (1) the Cukierman and Meltzer hypothesis that inflation volatility raises inflation; (2) the Friedman hypothesis that...

The goal of this paper is to examine evidence of stock price clustering on the South Pacific Stock Exchange, located in Fiji, and explore its determinants. We find that stock prices cluster at the decimal of 0 and 5, with almost half of prices settling on these two decimals. Upon investigating...