This paper investigates which events of World War II (WWII) the US investors (at that time) considered as turning points (structural breaks) of the war. The empirical study employs daily Dow Jones industrial average stock index and volatility from January 1939 to December 1945 and applies structural shift oriented test to determine endogenously the structural breaks during the WWII period. Results show that the majority of the wartime events (on and off the battlefield) labelled important by historians did result in structural breaks in both price movement and stock returns volatility (risk). These results have major implications for investors of the present and future.

In this paper, the authors present evidence that neither large differences in inflation nor long time periods are necessary for a finding favorable to purchasing power parity. Evidence from cointegrating regressions and tests of the real exchange rate indicate that purchasing power parity held as a long-run constraint between the United States and Canada for the period 1950:10 to 1961:5. The authors also find that government intervention can distort purchasing power parity over a finite period. Once the data were extended beyond the period of the free float, the evidence is no longer favorable to purchasing power parity.

This paper investigates the relationship between stock market volatility and the business cycle in four major economies, namely the US, Canada, Japan and the UK. We employ both linear and nonlinear bivariate causality tests and we further conduct a multivariate analysis to explore possible spillover effects across countries. Our results suggest that there is a bidirectional causal relationship between stock market volatility and the business cycle within each country and additionally reveal that the recent financial crisis plays an important role in this context. Finally, we identify a significant impact of the US on the remaining markets.