Forward exchange market unbiasedness: The case of the Australian dollar since 1984

Article Abstract:

An empirical application of robust non-stationary regression to Australia's foreign exchange market between 1984 and 1991 is presented. Both 1-month and 3-month forward exchange rates demonstrated considerable predictive content for the prospective spot rates. However, in contrast with optimal Gaussian regression approaches, the robust regression tests do not uphold the premise that the forward rates are objective predictors of the future spot rates.

Securities and Commodity Exchanges, Security and commodity exchanges, Securities Exchanges, Exchanges, Dollar (Australia)

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What are the global sources of rational variation in international equity returns?

Article Abstract:

Multivariate statistical methods are used to explore the global sources of international real equity return variations. It was established that the global economic variables that substitute for time-varying projected returns and for shocks to projected returns account for at most 17% of monthly stock return variance, and 48% of quarterly variance. Findings tend to propose that global economic and business situations do affect real equity variation.

Administration of General Economic Programs, Economic Planning & Research, Management, Economic research, Economic conditions, Return on investment, Rate of return

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Block holding and keiretsu in Japan: the effects of capital markets liberalization measures on the stock market

Article Abstract:

Large Japanese companies tend to hold large stakes in smaller firms (sub-firms) for lengthy periods. Research results indicate that US and Japanese stock portfolios can benefit more from holding sub-firms' shares than from holding parent firms' shares. The results also suggest that government measures to liberalize Japan's capital markets have significantly enhanced the Japanese stock market's efficiency and its integration with the US market.

Portfolio Management, Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors, Securities & Commodities Regulatn, Economic aspects, Japan, Economic policy, Keiretsu system

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