Euro Currency Trends In The Global Market

This study presents preliminary evidence on the long-term relationship between the euro and major international financial and non-financial assets. A secular relationship, if it exists, should provide the impetus for the new European currency to not only sustain itself over the long haul but also become a commanding international currency just like the U.S. dollar. Empirical results show that the pricing of crude oil is inversely related to the value of the euro, priced in U.S. dollars. Unit root tests show that series are stationary after first differencing, and cointegrated. However, Granger causality tests reveal that the euro does not Granger-cause crude oil price.  Also, there is no reverse causality from oil to euro. Nonetheless, a two-way causality exists between the euro and the U.S. stock market. Contrary to the findings in earlier studies, there is no evidence of causality from the U.S. stock market to leading European financial market series

Stock Return Characteristics In A Thin Incipient Stock Market

This paper examines the distributional properties of stock returns in the Nigerian stock market. Because emerging stock markets present several institutional, political and economic barriers, we hypothesize that the structural adjustment program begun in 1986 resulted in a sustained increase in the variability of stock returns. Conventional variance homogeneity tests could not reject the hypothesis of changing volatility in the security returns process. However, the Lagrange multiplier test reveals the presence of autoregressive conditional heteroscedasticity (ARCH) effect in the stock returns