Are German money market rates well behaved?
Trends in German money markets are examined for the period between 1976 and 1993. The VAR methodology is employed to analyze interest rate term structure for this period.
Publication Name: Journal of Economic Dynamics & Control
The behavior of UK stock prices and returns: is the market efficient?
An evaluation of UK stock market efficiency using the Campbell-Shiller VAR methodology resulted to the rejection of efficiency under the null that supports expected returns are constant or that they are dependent on the safe rate of interest. However, two frameworks carry the assumption that equilibrium returns are dependent on time-varying risk premiums. The analysis also supports the existence of short-termism even though there is relaxation of a major assumption regarding time-variant discount rate.
Publication Name: Economic Journal
Market segmentation and stock price behavior
Rejection of the efficient markets hypothesis based on aggregate data in studies of aggregate stock market indices may clearly be due to mis-pricing in only a sub-sector of the market. A study was therefore conducted to test the efficiency of five industry sub-sectors of the UK stock market using vector autoregression methodology developed by scholars in previous research. This methodology furnishes a tractable framework within which the issues of market efficiency and market segmentation may be addressed.
Publication Name: Oxford Bulletin of Economics & Statistics
- Abstracts: The economic effects of restrictions on government budget deficits. Optimal policy in OG models
- Abstracts: The multitask theory of state enterprise reform: empirical evidence from China. A multitask theory of state enterprise reform
- Abstracts: On the benefits of collaboration: consumer psychology, behavioral economics and relational frame theory. Latent demand and the browsing shopper
- Abstracts: Adaptation and convergence of behavior in repeated experimental Cournot games. Friend-or-foe intentionality priming in an extensive form trust game