Extant empirical research has reported nonlinear behavior within arbitrage relationships. In this article, the authors consider potential nonlinear dynamics within FTSE‐100 index and index‐futures. Such nonlinearity can be rationalized by the existence of transactions costs or through the...

Recent research investigating the properties of high‐frequency financial data has suggested that the stochastic nonlinearity widely present in such data may be characterized by heterogeneous components in conditional volatility, and nonlinear dependence of threshold autoregressive form due to...

By linking two main strands of equilibrium exchange rate research, this paper models and forecasts exchange rate movements around a time-varying equilibrium using both linear and non-linear techniques. Our results support evidence of linear and non-linear (ESTR) stationary behaviour around a...

Purpose – In order to assess the informational efficiency of African equity markets (AEMs), the purpose of this paper is to examine long memory in both equity returns and volatility using auto-regressive fractionally integrated moving average (ARFIMA)-FIGARCH/hyperbolic GARCH (HYGARCH) models....

Evidence regarding the validity of the present value model for stock prices has typically been assessed at index level. Moreover, such research typically rejects the model. In contrast research at the firm level is more supportive of the model. This paper, using the present value model as the...

This paper examines the forecasting ability of the dividend-price ratio for international stock market returns. Hitherto, existing research has only considered this issue in sample and in a linear framework. Hence, this paper provides the first systematic study of non-linear forecasting within...

In this paper we use three euro exchange rates to test for the presence of volatility spillovers, common volatility components and time-varying correlations using the multivariate-GARCH model and the common volatility methodology approach proposed by Engle and Kozicki (1993). Our results suggest...

The interaction between stock market and monetary variables in Pakistan using monthly data for the last 20 years is examined. The Johansen co-integration approach is utilised to examine the equilibrium relationship between the stock price index, money supply, interest rates and a foreign...

This paper examines the relationship between consumption growth and the stock market for the G7 markets primarily using panel estimation techniques. We consider whether consumption growth is affected by stock returns and the dividend yield. The use of returns determines the existence of a wealth...

Purpose – We test for the validity of the smoothing and signalling hypotheses of dividend determination. Design/methodology/approach - Using a VAR framework we examine the dynamic behaviour of share prices, dividends and earnings for 137 UK manufacturing and service companies, observed over...