Using a rolling regression approach with varying independent variables, this paper investigates macroeconomic structural changes in the four main stock markets in China and identifies the threshold values of structural changes. Macroeconomic structural changes frequently occur on the Shanghai...

This paper compares the different dynamics of simple sum monetary aggregates and PLS indexes over the business cycle, which have turning points at economic expansion and recession phases. We also investigates the long run relationship between monetary aggregates and GDP, to utilize the data in...

The low turnover premium found in U.S. equity markets is also found in Taiwan market, unlike the mixed evidence for other stylized effects such as size, book-to-market ratio and momentum. Consistent with investor overconfidence hypothesis proposed by Odean (1998, 1999), the percentage of foreign...