The purpose of this paper is to investigate long run relationship between developed, emerging and frontier markets of Europe. The paper applies Zivot and Andrews unit root test to examine stationarity of index series in the existence of a structural break. To account for instability in the...

The paper tests if the documented size effect in the Indian stock market is an anomaly with respect to market efficiency or an artifact with respect to data or methodology employed. The study employs two related datasets (one being held constant through the study period, the other being revised...

Financial Times Series such as stock price and exchange rates are, often, non-linear and non-stationary. Use of decomposition models has been found to improve the accuracy of predictive models. The paper proposes a hybrid approach integrating the advantages of both decomposition model (namely,...