Working Papers

From University of Pretoria, Department of Economics
Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta (rangan.gupta@up.ac.za).

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201755: The Role of Term Spread and Pattern Changes in Predicting Stock Returns and Volatility of the United Kingdom: Evidence from a Nonparametric Causality-in-Quantiles Test Using Over 250 Years of Data

Rangan Gupta, Marian Risse, David Volkman and Mark Wohar

201754: OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration

Rangan Gupta, Chi Keung Lau and Seong-Min Yoon

201753: Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016

Goodness Aye, Hector Carcel, Luis Gil-Alana and Rangan Gupta

201752: On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators

Riza Demirer, Guilherme Demos, Rangan Gupta and Didier Sornette

201751: Decomposing the South African CO2 Emissions within a BRICS Countries Context the Energy Rebound Hypothesis

Roula Inglesi-Lotz

201750: Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles

Elie Bouri, Rangan Gupta, Chi Keung Lau, David Roubaud and Shixuan Wang

201749: Oil Speculation and Herding Behavior in Emerging Stock Markets

Esin Cakan, Riza Demirer, Rangan Gupta and Hardik Marfatia

201748: Monetary Policy, Financial Frictions and Structural Changes: A Markov-Switching DSGE Approach

Francis Anguyo, Rangan Gupta and Kevin Kotze

201747: A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US

Refk Selmi, Christos Kollias, Stephanos Papadamou and Rangan Gupta

201746: Does the Equivalence Scale Matter? Equivalence and Out-of-Pocket Payments

Steven Koch

201745: Rationalizable Information Equilibria

Alexander Zimper

201744: Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model

Rangan Gupta, Christian Pierdzioch, Refk Selmi and Mark Wohar

201743: Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note

Elie Bouri, Riza Demirer, Rangan Gupta and Hardik Marfatia

201742: U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict

Rangan Gupta, Chi Keung Lau, Stephen Miller and Mark Wohar

201741: Partisan Conflict and Income Distribution in the United States: A Nonparametric Causality-in-Quantiles Approach

Mehmet Balcilar, Seyi Akadiri, Rangan Gupta and Stephen Miller

201740: Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence

Giorgio Canarella, Rangan Gupta, Stephen Miller and Stephen Pollard

201739: Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data

Mawuli Segnon, Chi Keung Lau, Bernd Wilfling and Rangan Gupta

201738: Monetary Policy Reaction Functions of the TICKs: A Quantile Regression Approach

Christina Christou, Ruthira Naraidoo, Rangan Gupta and Won Kim

201737: Macroeconomic Uncertainty, Growth and Inflation in the Eurozone: A Causal Approach

Vasilios Plakandaras, Rangan Gupta, Periklis Gogas and Theophilos Papadimitriou

201736: A Note on the Impact of Unconventional Monetary Policy Shocks in the US on Emerging Market REITs: A Qual VAR Approach

Rangan Gupta and Hardik Marfatia

201735: Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data

Aviral Tiwari, Juncal Cunado, Rangan Gupta and Mark Wohar

201734: Foreign Market Selection of Emerging Multinational Corporations: Evidence from South African and Egyptian Corporations

Mustafa Sakr and Andre Jordaan

201733: The Effect of Education on a Country’s Energy Consumption: Evidence from Developed and Developing Countries

Roula Inglesi-Lotz and Luis Morales

201732: Uncertainty and Forecasts of U.S. Recessions

Christian Pierdzioch and Rangan Gupta

201731: Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test

Mehmet Balcilar, Rangan Gupta, Ricardo Sousa and Mark Wohar

201730: News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets

Rangan Gupta, Christos Kollias, Stephanos Papadamou and Mark Wohar

201729: Network Causality Structures among Bitcoin and other Financial Assets: A Directed Acyclic Graph Approach

Qiang Ji, Elie Bouri, Rangan Gupta and David Roubaud

201728: Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets

Ruipeng Liu, Riza Demirer, Rangan Gupta and Mark Wohar

201727: Price Jumps in Developed Stock Markets: The Role of Monetary Policy Committee Meetings

Rangan Gupta, Chi Lau, Ruipeng Liu and Hardik Marfatia

201726: OPEC News and Predictability of Oil Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach

Rangan Gupta and Seong-Min Yoon

201725: The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test

Walid Bahloul, Mehmet Balcilar, Juncal Cunado and Rangan Gupta

201724: The Effects of Oil Price Uncertainty on Economic Activities in South Africa

Junior Chiweza and Goodness Aye

201723: A Panel Analysis of the Impact of Dividend per Share, Dividend Changes and Dividend Payout Ratio on Companies Performance: An Empirical Test of ``the Dividend Signaling Hypothesis"

Mpinda Mvita and Goodness Aye

201722: The Causal Relationship between Exchange Rates and Stock Price Levels in South Africa

Lelani Coetzee and Goodness Aye

201721: Asymmetric Volatility Effects between the Real Exchange Rate and Stock Prices in South Africa

Ayanda Sikhosana and Goodness Aye

201720: Does Inequality Help in Forecasting Equity Premium in a Panel of G7 Countries?

Christina Christou, Rangan Gupta and Fredj Jawadi

201719: Credit Ratings and Predictability of Stock Returns and Volatility of the BRICS and the PIIGS: Evidence from a Nonparametric Causality-in-Quantiles Approach

Mehmet Balcilar, Deven Bathia, Riza Demirer and Rangan Gupta

201718: Exploring Child Poverty and Inequality in Post-Apartheid South Africa: A Multidimensional Perspective

Kehinde Omotoso and Steven Koch

201717: Gender Differentials in Health: A Differences-in-Decompositions Estimate

Kehinde Omotoso and Steven Koch

201716: Social Determinants of Health Inequalities in South Africa: A Decomposition Analysis

Kehinde Omotoso and Steven Koch

201715: The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on Returns and Volatility of Oil Futures

Walid Bahloul and Rangan Gupta

201714: Preferences Over all Random Variables: Incompatibility of Convexity and Continuity

Hirbod Assa and Alexander Zimper

201713: Persistence, Mean Reversion and Nonlinearities in Inflation Rates of Developed and Developing Countries Using Over One Century of Data

Luis Gil-Alana and Rangan Gupta

201712: The International REIT's Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises

Hardik Marfatia, Rangan Gupta and Esin Cakan

201711: Asymmetric Behaviour in Nominal and Real Housing Prices: Evidence from Advanced and Emerging Economies

Christophe André, Nikolaos Antonakakis, Rangan Gupta and Mulatu Zerihun

201710: Monetary Policy and Financial Frictions in a Small Open-Economy Model for Uganda

Francis Anguyo, Rangan Gupta and Kevin Kotze

201709: Push Factors of Emerging Multinational Corporations: Evidence from South Africa and Egypt

Mustafa Sakr and Andre Jordaan

201708: Is Wine a Safe-Haven? Evidence from a Nonparametric Causality-in-Quantiles Test

Nikolaos Antonakakis, Mehmet Balcilar, Elie Bouri and Rangan Gupta

201707: Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach

Christina Christou, Rangan Gupta, Wendy Nyakabawo and Mark Wohar

201706: Causality between Output and Income Inequality across US States: Evidence from a Heterogeneous Mixed Panel Approach

Shinhye Chang, Hsiao-Ping Chu, Rangan Gupta and Stephen Miller