The current international integration of financial markets provides a channel for currency depreciation to affect stock prices. Moreover, the recent financial crisis in Asia with its accompanying exchange rate volatility affords a case study to examine that channel. This paper applies a bivariate GARCH-M model of the reduced form of stock market returns to investigate empirically the effects of...

In the United States, associations between attained education and adult health typically are larger for those from disadvantaged childhood backgrounds. However, it remains unclear how specific key childhood indicators contribute to these adult health patterns, especially outside the United States. Drawing on the 2014 European Social Survey (20 countries; N=31544), we investigate the key childho...

We study the basic properties of an equally weighted index of U.S. commodities futures from the perspective of a Japanese investor. We find that the returns on the U.S. equally-weighted commodity futures index maintain their basic properties documented in Gorton and Rousenhorst (2005), when translated into Yen. In particular, looking at returns on Japanese stocks and bonds, the commodity future...

Following the evolvement of technology in the trading and reporting systems of financial markets in the recent past, the abundance of high frequency data made available for analysis has opened up the scope for more insightful research work on the intra day behaviour of financial market data. Using high frequency intra day data from 1 January 2004 to 31 December 2004, this paper examines the pat...

The efficient markets hypothesis asserts that the price of an asset reflects all of the information that can be obtained from past prices of the asset. A direct corollary of this hypothesis is that stock prices follow a random walk, and that any profits derived from timing the market are due entirely to chance. In the absence of any ability to predict the market, the most appropriate strategy—a...

This paper investigates the conditional correlations and volatility spillovers between the dollar exchange rate return, gold coin return and crude oil return to stock index return. Monthly returns in the 144 observations (2005 - 2017) are analyzed by constant conditional correlation, dynamic conditional correlation, VARMA-GARCH and VARMA-AGARCH models. So this paper presents interdependences in...

We show that a class of microeconomic behavioral models with interacting agents, derived from Kirman (1991) and Kirman (1993), can replicate the empirical long-memory properties of the two first-conditional moments of financial time series. The essence of these models is that the forecasts and thus the desired trades of the individuals in the markets are influenced, directly or indirectly, by t...

This paper posits a notion of the value of an individual’s human capital and the associated return on human capital. These concepts are examined using U.S. data on male earnings and financial asset returns. We find that (1) the value of human capital is far below the value implied by discounting earnings at the risk-free rate, (2) mean human capital returns exceed stock returns early in life an...