Working Papers

From University of Pretoria, Department of Economics
Contact information at EDIRC.
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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

201705: Current Account Sustainability in G7 and BRICS: Evidence from a Long Memory Model with Structural Breaks

Christophe André, Tsangyao Chang, Luis Gil-Alana and Rangan Gupta

201704: Does Global Fear Predict Fear in BRICS Stock Markets? Evidence from a Bayesian Graphical VAR Model

Elie Bouri, Rangan Gupta, Seyedmehdi Hosseini and Chi Keung Lau

201703: Openness and Growth: Is the Relationship Non-Linear?

Rangan Gupta, Lardo Stander and Andrea Vaona

201702: Geopolitical Risks and the Oil-Stock Nexus Over 1899-2016

Nikolaos Antonakakis, Rangan Gupta, Christos Kollias and Stephanos Papadamou

201701: Perturbed Utility and General Equilibrium Analysis

Wei Ma

201690: Does Bitcoin Hedge Global Uncertainty? Evidence from Wavelet-Based Quantile-in-Quantile Regressions

Elie Bouri, Rangan Gupta, Aviral Tiwari and David Roubaud

201689: The Relationship between Stock Market Volatility and Trading Volume: Evidence from South Africa

Pramod Naik, Rangan Gupta and Puja Padhi

201688: Impact of Volatility and Equity Market Uncertainty on Herd Behavior: Evidence from UK REITs

Omokolade Akinsomi, Yener Coskun, Rangan Gupta and Chi Keung Lau

201687: International Business Cycle and Financial Intermediation

Tamas Csabafi, Max Gillman and Ruthira Naraidoo

201686: The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach

Rangan Gupta, John Weirstrass Muteba Mwamba and Mark Wohar

201685: Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data

Vasilios Plakandaras, Juncal Cunado, Rangan Gupta and Mark Wohar

201684: Tax Competition, Policy Competition and the Strategic Use of Policy Restrictions on Foreign Direct Investments

Kaushal Kishore

201683: Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches

Giorgio Canarella, Luis Gil-Alana, Rangan Gupta and Stephen Miller

201682: The Relationship between the Inflation Rate and Inequality across US States: A Semiparametric Approach

Mehmet Balcilar, Shinhye Chang, Rangan Gupta and Stephen Miller

201681: The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model

Rangan Gupta, Chi Keung Lau and Mark Wohar

201680: Forecasting the Probability of Recessions in South Africa: The Role of Decomposed Term-Spread and Economic Policy Uncertainty

Goodness Aye, Christina Christou, Luis Gil-Alana and Rangan Gupta

201679: The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Nonparametric Causality Tests

Matteo Bonato, Riza Demirer and Rangan Gupta

201678: Chaos in G7 Stock Markets using Over One Century of Data: A Note

Aviral Tiwari, Rangan Gupta and Stelios Bekiros

201677: On REIT Returns and (Un-) Expected Inflation: Empirical Evidence Based on Bayesian Additive Regression Trees

Christian Pierdzioch, Marian Risse, Rangan Gupta and Wendy Nyakabawo

201676: Dynamic Tax Competition, Home Bias and the Gain from Non-preferential Agreements

Kaushal Kishore

201675: Does Country Risks Predict Stock Returns and Volatility? Evidence from a Nonparametric Approach

Tahir Suleman, Rangan Gupta and Mehmet Balcilar

201674: Causal Relationships between Economic Policy Uncertainty and Housing Market Returns in China and India: Evidence from Linear and Nonlinear Panel and Time Series Models

Nikolai Sheung-Chi Chow, Juncal Cunado, Rangan Gupta and Wing-Keung Wong

201673: Asymmetric dynamics of insurance premium: The impacts of output and economic policy uncertainty

Rangan Gupta, Amine Lahiani, Chi-Chuan Lee and Chien-Chiang Lee

201672: Credit Constraints, Growth and Inequality Dynamics

Yoseph Getachew

201671: Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach

Nicholas Apergis, Matteo Bonato, Rangan Gupta and Clement Kyei