This paper investigates empirically the change(s) in the long-run relationship(s) between the stock prices of eight Far East countries around the Asian financial crisis of 1997-1998. Further tests are conducted to check the change in the influence of the Japanese and the US stock markets in the...

This paper studies the economic significance of stock and bond return predictability in UK market over period February 1991 to May 2002, based on a real-time investment simulation with only publicly available information. We use ten macroeconomic and financial variables as the predicting...

This paper investigates the effects of the long-run relationship between stock cash index and futures index on the hedging effectiveness of six stock futures markets. Effectiveness of five different hedging ratios depending on different estimation procedures is investigated. The unhedged, the...

This paper investigates the monetary interdependence and the money-income relationship between countries under a pegged and a floating exchange rate system during the same time period (1979-1997). The relationship is tested between three ERM countries, France, Germany and Holland, and also...

This paper investigates the monetary interdependence and the money-income relationship between countries under a pegged and a floating exchange rate system during the same time period (1979-1997). The relationship is tested between three ERM countries, France, Germany and Holland, and also...

This paper empirically investigates the demand for international reserves (and foreign exchange reserves) during fixed and floating exchange rates periods in three developing countries: Kenya, Mexico and Philippines. Based on theoretical models, three factors are identified as important for the...