This paper revisits the random walk hypothesis for ten Pacific Basin foreign exchange markets. The results suggest that the null hypothesis of random walk is rejected based on the Lo-MacKinlay variance ratio tests, under conditions of both homoskedasticity and heteroskedasticity for the examined...

Using 16 OECD stock price indices data, this paper revisits the random walk hypothesis by inspecting the degree of persistence of stock prices. We adopt two recently developed econometric procedures, due to Hansen (1999) and Romano and Wolf (2001), in order to estimate 95% confidence intervals...

This article investigates the long-run and causal relationship between the defence spending-GDP ratios of the People's Republic of China and Taiwan. The results clearly indicate that there is a long-run level equilibrium relationship between the ratio of defence spending of mainland China and...

This article examines the applicability of the hypothesis of market efficiency in Taiwan's foreign exchange market using daily data. Instead of linear regression-based models, we consider the possibility that the true data generating process may come from two different distributions, and we...

We examine the nexus of stock prices and exchange rates for the G-7 countries by using the vector error correction model, the bounds testing methodology and linear and non-linear Granger causality methods. The empirical results substantiate that a long-run level equilibrium relationship exists...

We assess the validity of the Export-led Growth (ELG) and the Growth-driven Export (GDE) hypotheses in Taiwan by testing for Granger causality using the vector error correction model (VECM) and the bounds testing methodology developed by Pesaran {\it et al.} (PSS, 2001). The empirical results...

Using Taiwan data, we employ Dueker's (1997, 2002) Probit-Markov switching model toevaluate the performance of Taiwan''s leading indicator in identifying turning points.The merit of the Probit-MS model is that it incorporates the dependent structure of the leading indicator which is not taken...

By using an extended dataset for 19 developed countries, this study employs a recent unit root test to re-examine the issue of the non-stationarity of real per capita GDP. The results convincingly support the view that the real per capita GDPs of Australia, France, Germany, Japan, the UK and the...

This paper explores the linear and non-linear causal relationship between stock price and trading volume in China. The empirical results substantiate that there is a long-run level equilibrium relationship between the stock price and trading volume in China. The results from the linear causality...