This paper explores the role of private information on idiosyncratic return variation. We suggest that there is a significant positive relationship between informed trade and firm-specific return variation. Using the probability of information-based trading (PIN) as a measure of informed trade,...

Using asymmetric nonlinear smooth-transition GARCH(M) models for the period of 1926:01 - 1997:12, this paper shows that monthly excess returns on value-weighted market indexes exhibit a strong asymmetric reverting pattern; a negative return reverts more quickly, with a greater reverting...

This study provides evidence on whether the inflation rate is stationary or nonstationary using quarterly inflation rate data from 50 developing countries. As Johansen [Johansen, Soren. “Testing Weak Exogeneity and Order of Cointegration in UK Money Demand Data,” Journal of Policy Modeling,...

In this paper, we explore nonlinearity inherent in short-horizon return dynamics, which is characterized by an asymmetric mean-reverting property. Over the period of 1962:07–2003:12, both daily and weekly returns of three market indexes and individual stock returns exhibit a strong asymmetric...

Employing annual returns generated from overlapping monthly price indexes for the G-7 stock markets, this paper examines asymmetry and common nonlinearities in long-horizon stock returns. Identifying widespread nonlinearities based on LSTAR or ESTAR models, we find that the asymmetric nonlinear...