This paper investigates the relationship between stock price and trading volume in twenty four international equity indices for the period 2002-2007. This study begins with testing for stationarity, and then uses a VAR model to implement the Granger Causality test. Empirical results are mixed...

This paper investigates the Islamic calendar seasonal anomalies in the stock returns of twelve countries where the majority of the population are Muslims. We show empirical evidence of statistically significant Islamic calendar seasonal effects in all twelve countries of our sample. We document...

Gold is known to be a stable investment in times of political and economic uncertainty. Our article is the first to examine the diversification benefits of including gold in the portfolio of a Kuwaiti investor. Our empirical results for the period Jan 2000 to May 2011 show that Kuwaiti investors...

This paper investigates the relationship between financial news content (optimistic/pessimistic), REIT returns, and trading volume. We apply textual analysis and find that high media pessimism predicts downward pressure on REIT returns. Negative words in the financial press are significantly...

Factor analytic techniques were applied to 18 real estate equity markets using weekly FTSE EPRA/NAREIT data during the period 1997 to 2009. Our results from the exploratory factor analysis suggest three distinct factors during 1997 to 2007. With a single exception, the national returns fall...

This study provides initial empirical evidence on the usefulness of consumer sentiment and investor optimism indices in explaining real estate investment trust (REIT) price movements. We find evidence of uni-directional causality from REIT returns to the change in Michigan Consumer Sentiment...

This paper tests weak-form market efficiency of CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa) over the period 2002-2012. We apply unit root tests and variance ratio tests to investigate if these equity markets follow a random walk. The empirical results indicate that our...