In this study, we apply threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment in long-run purchasing power parity (PPP) in nine major oil-exporting countries. Although there is evidence of long-run PPP for these nine...

This paper explores the long-run and causality relationship between the exchange rate and macroeconomic fundamentals in G-7 countries, employing recently developed tests for the linear cointegration provided by Johansen (1988), the non-parametric cointegration method provided by Bierens (1997),...

In this study, the panel Seemingly Unrelated Regressions Augmented Dickey-Fuller (SURADF) tests advanced by Breuer et al. (2001) are used to test the validity of Purchasing Power Parity (PPP) for G-7 countries over the period 1980M1 to 2008M5. The empirical results from several panel-based unit...

We explore whether there exists an efficient investment regime for a panel of SP100 companies over the period 1986-2007. We demonstrate that abnormal stock returns are related to corporate total assets growth rate (a proxy variable for exercising real investment options through contraction,...

In this study, we revisit the issue as to the presence of rational bubbles in the Taiwan stock market during the June 1991 to February 2005 period using the Bierens (1997) nonparametric cointegration tests. The results from the Bierens nonparametric cointegration test attest to the absence of...

This study provides evidence that there exist long-run benefits for investors from diversifying in two Chinese share markets over the period January 5, 2000 to December 31, 2005. The evidence is based on tests for pairwise cointegration between the Shanghai and Shenzhen¡¦s A-share and...

In this note, we use the newly-developed and refined panel stationary test with structural breaks, as advanced by Carrion-i-Silvestre et al. (2005), to investigate the time-series properties of per capita real GDP for 20 Latin American countries during the 1960-2000 period. The empirical results...

In this study we use a more powerful nonlinear (logistic) unit root test advanced by Leybourne et al. (1998) to investigate the time-series propertities of per capita real GDP for 26 selected African countries for the period 1960-2000. We strongly reject the null of unit root process for over...

Using the considerably powerful nonparametric cointegration tests proposed by Bierens (1997, 2004), we do not find any evidence indicative of the existence of rational bubbles in the US stock market during the long period of 1871 to 2002. In addition, with the application of a logistic smooth...

Following Mann's (National Tax Journal, 33, 189-201, 1980) study, five different versions of Wagner's law are empirically examined using annual time-series data on ten countries over the period 1951 to 1996. Included are three of the emerging industrialized countries of Asia: South Korea,...