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This paper empirically investigates the effect of economic policy uncertainty (EPU) on the UK money demand stability during the inter-war period (1920–1938). Both a narrow definition (M0) and a broad definition (M3) of money are investigated.

The empirical investigation is conducted by employing the autoregressive distributed lag (ARDL) bounds testing approach to cointegration.

Results presented indicate a stable demand for both definitions of money only when EPU is included as one of the determinants of demand function. The EPU imposes a negative effect on the demand for both definitions of money. The causality test results further indicate long- and short-term causality from the determinants (including EPU) to both forms of money demand.

Significant presence of the economic uncertainty weakens the effects of the monetary policy on the economy.

This is a historical economics paper. Given the turmoil and uncertainty associated with the inter-war period, an empirical investigation of UK money demand is an interesting exercise. This is the first such paper.

Reviews previous research on the nature of beta and investigates the stochastic structure of time‐varying beta in Hong Kong, Malaysia and Singapore using the bi‐variate GARCH‐in‐mean model and fractional tests. Develops mathematical models and applies them to 1989‐1998 daily data from all three stock markets. Presents the results, which suggest, in contrast to other findings, that all three time‐varying betas are slowly mean‐reverting (long memory).

The purpose of this paper is to investigate the momentum phenomenon in two market segments of the Chinese stock market – the Class A share market and Class B share market over time period spanning from January 1996 to December 2010.

The authors largely follow Jegadeesh and Titman (1993) paper; the authors decompose the momentum returns following the procedure first proposed by Jegadeesh and Titman (1995). In addition, a liquidity factor (Pastor and Stambaugh, 2003) and a share ownership factor (Wang and Xu, 2004) are incorporated in the procedure to gauge the contribution of liquidity and the dynamics of share ownership towards the momentum returns, respectively in the two segments of the Chinese stock market.

The authors find compelling evidence showing distinctively different momentum phenomena exist in the two market segments of the Chinese stock market. Specifically, the momentum phenomenon is more pronounced in the Chinese Class A share market compared to those found in the Chinese Class B share market. Through decomposing the momentum returns, the authors find evidence showing the dismal momentum returns observed in the Class B share market can be attributed to markedly weakened contributions of the liquidity factor and the share ownership factor.

Relatively short sample time horizon compared to the most of major financial markets such as USA and UK. The number of B shares has been rather limited.

Subsequent to the opening of the Chinese Class B share market to domestic investors in 2001 and the opening of the Chinese Class A share market to qualified foreign institutional investors (QFII) in 2003, the empirical evidence found in this study provides a crucial reference point for domestic and foreign portfolio strategists in guiding them to form suitable portfolio strategies concerning investments in a nascent financial market such as the Chinese stock market, fraught with volatility and speculative trading behaviour.

It offers a comprehensive view of the momentum phenomenon in the Chinese Class A and B share markets over the sample period from January 1996 to December 2010. Second, the reasons behind the dichotomy of the momentum returns found in the two market segments were investigated through decomposing the momentum returns based on Jegdeesh and Titman’s (1995) method while incorporating three new explanatory factors – the liquidity factor, share ownership factor and the under reaction towards firm-specific news factor.

A couple of extant papers have visited the topic before. yet this paper offers more comprehensive view on the existence of momentum premium in both Chinese Class A and B share markets and investigates the driving forces behind the subdued momentum returns observed in the B share market.

This paper explored the new features of emerging stock markets, in order to point out the most associated indicators of increasing stock return volatility, which may lead to instability of emerging markets. The study covers a sample of five geographical areas of emerging economies, including Mexico, Korea, South Africa, Turkey, and Malaysia. It used the backward multiple‐regression technique to examine the relationship between monthly changes of stock price indices as dependent variable and the associated predicting local as well as international variables, which represent possible causes of increasing price volatility and initiating crises in emerging stock markets. The study covered monthly data for a period of forty‐eight months from January 1997 to December 2000. The study revealed that stock trading volume and currency exchange rate respectively represent the highest positive correlation to the emerging stock price changes; thus represent the most predicting variables of increasing price volatility. International stock price index, deposit interest rate, and bond trading volume were moderate predicting variables for emerging stock price volatility. While changes in inflation rate showed the least positive correlation to stock price volatility, thus represents the least predicting variable.