We test for the presence of non‐linear dynamics in real stock return, in the American, British, and Japanese equity markets. Evidence on non‐linearities will have important implications for financial analysts. The results provide evidence of nonlinear structure in stock returns, in the three...

This article examines predictability of returns and volatily in three major stock markets, the U.S., U.K., and Japan, using the Vector Autoregrassive and the Autoregressive Conditional Heteroskedastic (ARCH) approaches. We find that in all three markets dividendprice ratios and/or dividend...

Points out that the decline in international economic differentials makes country effects less important and sector effects more important in managing equity funds; but that there is little research on sector and sub‐sector specific risks. Presents a study of sector and sub‐sector volatility...

Reviews previous research on share price response to annoucements of changes in top management and the accounting policies/reported earnings around such changes. Uses 1989‐1992 UK data for a sample of 420 announcements of changes in top management, divided into routine departures,...

Outlines previous research on cointegration between capital markets and assesses the degree of cointegration between liberalized Eastern European markets (the Czech Republic, Poland and Hungary) and the German and UK markets in the context of increasing foreign investment in Eastern Europe. Uses...

This investigation into the performance of Initial Public Offerings on the new Alternative Investment Market reveals that the expected high level of underpricing, that is usually associated with the risky nature of small, young and growing companies, is not supported by the evidence in this...

Outlines previous research on international investment portfolios and presents a study of diversification and hedging on money market, bond and equity funds from UK, US and Japanese investors’ points of view. Explains the methodology, uses 1995‐1998 data to calculate returns and discusses...