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)...

Purpose This paper seeks to examine the nature of spillovers between output and stock prices using both a long annual time series spanning 200 years and a shorter but quarterly observed data set. Design/methodology/approach The authors’ particular interest is to examine both the time-varying...

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...

Purpose – The purpose of this paper is to examine the dynamic dependence structure in credit risk between the money market and the derivatives market during 2004-2009. The authors use the TED spread to measure credit risk in the money market and CDS index spread for the derivatives market....