Based on a three-factor international capital asset pricing model, we examine whether the world market, the local market and the currency risks are priced in the Canadian equity market. The analysis presented in this paper is based on data collected from 2003 to 2010. As the dataset also...

This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on Canada, we use six alternative bilateral and one multilateral exchange rate proxies. Furthermore, using both a two-factor and a three-factor capital asset pricing model (CAPM),...

Using weekly data from 2003 to 2011, this paper examines the presence of exchange rate exposure in thirteen Canadian industry sectors. This study contributes to the literature in a number of ways: (i) it considers the presence of exposure not only in the full sample but also in the pre and...

The question of whether corporate debt can impact free-floating shares and stock liquidity is still a controversial research topic until recently. Using a sample of the 411 largest US non-financial firms over the period 2007-2017, our analysis shows that more corporate debt weakens the influence...

This study explores the impact of real economic policy (business condition risk) on the oil-stock nexus risk connectedness during the COVID-19 pandemic. It uses multivariate wavelet coherency and partial wavelet coherency methods to isolate the effects of global risk indices, such as the US...

This study explores whether the COVID-19 outbreak and Russian-Ukrainian (R-U) confict have impacted the efciency of cryptocurrencies. The novelty of this study is the use of the Cramér-von Mises test to examine cryptocurrency efciency. We used a sample of daily prices for the six largest...

The Singaporean economy was affected by the Asian Financial Crisis, but its effects were masked by Singapore's approaches, and strategies, towards FDI and government investment, and to the external recognition of its robust, transparent financial system. the Asian Financial Crisis and increased...

This paper examines factors that have contributed to economic growth in Australia. During the last decade the Australian economy has been among the best performed of developed countries. In fact the Australian economy has performed well since the process of deregulation started in the early...

The last decade has witnessed three distinct crises: 1992-93 European crisis, 1994-95 Mexican crisis and 1997-98 Asian crisis. The Asian financial crisis raised serious concerns about the vulnerability of the Malaysian financial system. Although the Malaysian economy as responded well to capital...