Nonlinear Stock Price Adjustment in the G7 Countries

The Role of Institutional Quality in Forecasting the Total Stock Price Index: Case Study of Developing and Developed Countries

The purpose of this paper is the empirically examination of the effect of the Institutional Quality Components (Voice and Accountability, political stability and Absence of Violence and Terrorism, government effectiveness, regulatory quality, rule of law and control of corruption) on the prediction of total stock price index. The study was carried out using data extracted from 53 countries from...

Total factor productivity in the G7 countries: a short note

The analysis of the composition of economic growth in the G7 countries has been motivated by the desire to identify regularities that contribute to explaining economic success. Such analysis must be carried out with a long term perspective, and the relevant production function should reflect existing world technology and not just domestic conditions. Moreover, in order to assess the relative pe...

Threshold cointegration and nonlinear adjustment between stock prices and dividends

According to several empirical studies, the linear present-value model fails to explain the behaviour of stock prices in the long run. We analyse the possible presence of threshold cointegration between real stock prices and dividends for the US market during the period from 1871:1 to 2004:6. According to our results, the null hypothesis of linear cointegration between stock prices and dividend...

Market Structure and Price Adjustment in the Iranian Tea Market

Stock Return Predictability and Dividend-Price Ratio: A Nonlinear Approach

This paper examines the forecasting ability of the dividend-price ratio for international stock market returns. Hitherto, existing research has only considered this issue in-sample and in a linear framework. Hence, this paper provides the first systematic study of non-linear forecasting within the present value model context. Using an asymmetric variant of the popular ESTR model we demonstrate ...