Price clustering can be a source of market inefficiency. It follows that searching for price clustering in markets have gone beyond share prices into real estate, interest rate, and exchange rate markets. In this paper, we extend this line of research to oil futures markets. In particular, we...

The goal of this paper is to undertake a panel data investigation of long-run Granger causality between electricity consumption and real GDP for seven panels, which together consist of 93 countries. We use a new panel causality test and find that in the long-run both electricity consumption and...

The goal of this paper is to model the impact of oil prices on Vietnam's stock prices. We use daily data for the period 2000-2008 and include the nominal exchange rate as an additional determinant of stock prices. We find that stock prices, oil prices and nominal exchange rates are cointegrated,...

In this paper, we examine the volatility of crude oil price using daily data for the period 1991-2006. Our main innovation is that we examine volatility in various sub-samples in order to judge the robustness of our results. Our main findings can be summarised as follows: (1) across the various...

The goal of this paper is to examine the importance of permanent and transitory shocks in explaining variations in stock prices for Singapore, Taiwan, and South Korea using a trend-cycle decomposition technique. This study is novel in that in measuring the impact of shocks we not only impose...

The goal of this paper is to examine the relative importance of permanent and transitory shocks in explaining variations in macroeconomic aggregates for the UK at business cycle horizons. Using the common trend-common cycle restrictions, we estimate a variance decomposition of shocks, and find...

There is a plethora of studies that investigate evidence for the behaviour of stock prices using univariate techniques for unit roots. Whether or not stock prices are characterised by a unit root have implications for the efficient market hypothesis, which asserts that returns of a stock market...

In this paper, using the cash-in-advance model, we estimate Indonesia's money demand function for the period 1970-2005. We find the real M1 and real M2 are cointegrated with their determinants, namely real income, real exchange rate and short-term domestic and foreign interest rates. The...

This paper investigates the behaviour of US stock prices using an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. The TAR model is applied to monthly stock price (NYSE Common Stocks) data for the US for the period 1964:06 to 2003:04. Amongst our...

The central aim of this paper is to investigate whether the military coups instigated by Major General Sitiveni Rabuka in 1987 had a permanent effect or a transitory effect on tourist expenditures in Fiji. To accomplish this aim we use the Vogelsang (Econ. Theory 13 (1997) 818) test for one...