In this study, we employ a recently introduced unit root test with a Fourier function that is capable of capturing the unknown nature of structural breaks, to reexamine the stationarity properties of energy consumption per capita of 109 countries over the period 1960–2011. The results of the...

This paper is about the behavioral aspects of capital markets. The research work emphasis on the weak form efficiency of Karachi stock exchange (KSE) which is an emerging stock market of Pakistan. It is researched that investors in KSE gaining abnormal profits or not by using historical prices....

Recent approaches in unit root testing have taken into account the influences of initial condition, trend, and breaks in data using pre-testing and union of rejection testing strategies based on obtained information. This paper proposes an extension of the Harvey et al. (2012b) approach to...

Ng (2008) shows how the cross-sectional variance of the observed panel data can be used to construct a simple test for the proportion of non-stationary units. However, in the case with incidental trends the test is distorted. The present note shows how the distortions can be substantially...

The purpose – It is important to emphasize that a research on relationship between tourism, finance and advertisement is very rare. The aim of this study is investigation of causal relationship between these variables. Design – In this paper, the relationship between tourism revenues and...

The current paper considers the asymptotic local power of second-generation panel unit root tests that are robust to the presence of cross-section dependence in the form of common factors. As a basis for our analysis, we take the PANIC approach of Bai and Ng (2004, 2010), which is one of the...

This paper analyzes the properties of panel unit root tests based on recursively detrended data. The analysis is conducted while allowing for a (potentially) non-linear trend function, which represents a more general consideration than the current state of affairs with (at most) a linear trend....

This study objective to examine the relationship between gold prices, oil prices and KSE100 return. This study important for the investor whose want to invest in real assets and financial assets. This study helps investor to achieve the portfolio diversification. This study uses the monthly data...