Purpose The purpose of this paper is to analyze if the unconventional monetary policy,
known as quantitative easing (QE) practiced by central banks in the USA, the UK, and Japan …

The paper investigates the relation between retail investors' participation in trading and
aggregate stock market liquidity. The findings show a positive and significant relation …

This study examined the relationship between macroeconomic variable volatility and stock
market return within the context of Blanchard (1981) extension of the Hicks (1937) IS-LM …

This paper constructs and analyzes various measures of trading costs in US equity markets
covering the period 1926–2015. These measures contain statistically and economically …

This paper examines the relationship between stock market liquidity, which proxies for the
implicit cost of trading shares, with macroeconomic conditions. We provide evidence that …

We examine the link between financial market illiquidity and macroeconomic dynamics by
fitting a Bayesian time-varying parameter VAR with stochastic volatility to UK data from …

Policymakers have always looked at the difference between the yields on long-and short-
term Treasury securities as an indication of where the economy is heading. In this study, we …

In this paper, a structural time series model is estimated to analyse the effect of quantitative
easing (QE) on stock prices for the US, UK and Japan. The model is estimated by maximum …

In light of the recently passed 2010 Dodd–Frank Act, we assess the effect of margin changes
on prices, the risk-sharing between speculators and hedgers, and the price stability of 20 …

We examine the importance of periods of high versus low financial uncertainty when
forecasting stock market returns with technical predictors. Our results suggest that technical …