This paper examines the random walk hypothesis (RWH) and the martingale difference hypothesis (MDH) for the Australian dollar and five Asian emerging currencies relative to three benchmark currencies. We use Wright's (2000) non-parametric procedure to test the RWH and Kuan and Lee's (2004)...

This paper investigates the statistical relationship between stock prices and inflation in nine countries in the Pacific-Basin. On balance, regression analysis on the nine markets shows negative relationships between stock returns in real terms and inflation in the short run, while...

Using stochastic dominance (SD) analysis, this paper examines calendar anomalies in the Athens Stock Exchange (ASE), an emerging market thrust into a path of rapid transition by the economic integration of Greece with the European Union. SD offers two essential analytical attributes: It requires...

Using a nonparametric variance ratio (VR) test, we revisit the empirical validity of the random walk hypothesis in eight emerging markets in the Middle East and North Africa (MENA). After correcting for measurement biases caused by thin and infrequent trading prevalent in nascent and small stock...

This paper investigates the generalized Fisher hypothesis for nine equity markets in the Asian countries. It states that the real rates of return on common stocks and the expected inflation rate are independent and that nominal stock returns vary in a one-to-one correspondence with the expected...

Purpose – The purpose of this study is to examine the impact of thin trading on the day-of-the-week effect in the emerging equity markets of the United Arab Emirates (UAE). Researchers have stated that emerging markets are typically characterized by low liquidity, thin trading and possibly...

Can trading volume help unravel the long-term overreaction puzzle? With portfolios of non-S&P 500 NYSE stocks, we show that (1) both the high- and low-volume (abnormal volume) contrarian portfolios earn a much higher market-adjusted excess return than the normal-volume contrarian portfolio, (2)...