This study examines if economic policy uncertainty in the U.S. has any effect on the returns on stock markets in the BRIC (Brazil, Russia, India and China) countries. The current study also investigates how stock market returns in the four countries respond to the U.S. economic policy...

This study investigates the effect of the changes of economic policy uncertainty in the U.S. on the returns on stock markets of Indonesia, Malaysia, Philippines, Singapore and Thailand. The current study also examines how the stock market returns in the five countries respond to the changes in...

This study finds that return on the NYSE largest-cap portfolio significantly increases following the shock to the percentage change in NYSE odd lot purchase volume. Based on the analysis of monthly data from 1970M2 to 2012M12, the results reveal a causal linkage between return on the NYSE...

This study examines the dynamic response of the S&P 500 price-to-earnings ratio (PE) to credit spread (CS) shock and causal direction between these two variables. Based on the analysis of monthly data from 1919M1 to 2013M8, the VAR results reveal that PE significantly jumps immediately following...

This study investigates the dynamic response of credit spread (CS) to S&P 500 dividend yield (DY) shock. Based on the analysis of monthly data from 1919M1 to 2013M8, the VAR results show that credit spread significantly rises immediately following shock to the S&P 500 dividend yield. The results...

This study investigates how credit spread dynamically responds to the change in aggregate Tobin's q ratio. The VAR results from analyzing quarterly data from 1951 Q4 to 2012 Q4 reveal that credit spread drops significantly following the shock to the change in aggregate Tobin's q ratio. There is...

This paper aims to examine the contemporaneous relationship between trading volume and returns in the ETF market taking the stock market as a contrast. While past research using correlation analysis and OLS method to specify a linear regression model only catches the average relationship between...

This study investigates how equity trading activity dynamically responds to credit spread shock. Based on the analysis of monthly data from 1925M1 to 2013M7, equity trading activity, using share volume turnover as a proxy, significantly drops following the shock to credit spread. The results...

This paper is set up to dissect the covariance patterns of the returns on the commodity and equity markets. Analyzing monthly return data from 1970:M1 to 2013M7, the results show that returns on the commodity and equity markets co-vary weakly in the opposite direction (r=-0.12) in the 1970s,...

This study examines the impulse response functions and causality test of stock market returns and market-wide liquidity as measured by share turnover (the total number of shares traded over a period divided by the average number of shares outstanding for the period). The analyses of the monthly...