This paper tests the expectations hypothesis of the term structure of interest rates in seven major international markets from the perspective of behavioural finance. Using a cointegration and error correction approach, we find significant empirical support for the expectations hypothesis for...

The objective of this paper is to reveal the situations of time-series changes of the covariations of stock returns between the Japanese markets and other Asian and Asia-pacific markets. In this paper, we first statistically revealed that the connections between stock returns between the...

This paper investigates which US stock price index is strongly influenced by the Japanese stock markets. Our empirical tests as to the time-varying correlations derived from a multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model reveal the following evidence....