In this research, we examined whether appreciation and depreciation in oil price, interest rate, exchange rate, industrial production, and inflation have the same effects on the stock market returns by using nonlinear autoregressive distributed lag (nonlinear ARDL). All nine economic sectors and...

This study examines the stochastic properties of German green and brown stock prices; more specifically, fractional integration methods are applied to daily data on representative green and brown stock indices for the Berlin, Dusseldorf, Frankfurt, Gettex, Munich, and Stuttgart stock exchanges...

The paper examines the degree of capital mobility in Tunisia for 1970 to 2009 period, using Feldstein and Horioka (1980) method of savings and investment comovement. We apply ARDL bound test to assess comovement between savings and investment; and to compute the savings retention ratio with...

This study employs cointegration technique to determine the co-movement of ten national stock markets indexes in Africa. Using monthly indexes spanning February, 1997 to October, 2011, results demonstrate less than full cointegrating vectors, which suggest African stock markets are not fully...