Purpose – In this paper, it is set out a hybrid data analysis method based on the combination of wavelet techniques and principal-components regression (PCR). The purpose of this paper is to study the dynamics of the stock returns within the French stock market. Design/methodology/approach –...

Purpose – The purpose of this paper is to investigate the spillover effect of the US macroeconomic news on the first two moments of the Vietnamese stock market returns. Design/methodology/approach – The author collected market expectation and actual announcements data for 12 key US...

Purpose – The purpose of this paper is to explore the determinants of the cross-market transmission mechanism for terrorist shocks, focusing on two major terrorist events and 68 national stock markets. Design/methodology/approach – The paper generates daily abnormal returns from a...

This paper investigates whether current and future domestic and international macroeconomic variables can explain long and short run stock returns in four 'new' European countries (Poland, Czech Republic, Slovakia and Hungary). 'Old' western European countries (UK, France, Italy and Germany) are...

We examine whether the incremental usefulness of the other comprehensive income (OCI) items relative to net income changed or not after the issuance of the Egyptian Accounting Standard number 1 (post-EAS 1). We also seek to depict inferences concerning which component(s) of OCI is more useful to...

This study examines the causal and long-term equilibrium relationships between macroeconomic variables and the Indian stock market during the period January 2005 to December 2009 by using Toda-Yamamoto Granger causality test, Johansen's cointegration tests, variance decomposition and impulse...

This study investigates the influence of increasing the forecast horizon on correlation between the forecast returns and the actual returns. ARMA and EGARCH models are used in this paper to capture univariate asset returns. ARMA model is conditional mean model and EGARCH model is conditional...

Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH)....