This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. We employ a modified trivariate BEKK-GARCH-in-mean model of Engle and Kroner (1995) to estimate the time-varying conditional variance and covariance of returns of stock index,...

In this paper we argue that the commonly employed exposure coefficient/beta is inadequate for capturing the entire impact of exchange rate changes on firms' future operating cash flows. Instead, we employ the bivariate Glosten–Jagannathan–Runkle generalized autoregressive conditional...

Purpose: While sustainable development policies are mostly set based on United Nations (UN) geoscheme classification, no study attempts to examine the impact of influential economic variables such as energy consumption (EC) and merchandise exports (ME) on carbon dioxide (CO2) emission in the UN...

Most studies of exchange rate exposure of stock returns do not address three relevant aspects simultaneously. They are, namely: sensitivity of stock returns to exchange rate changes; sensitivity of volatility of stock returns to volatility of changes in foreign exchange market; and the...

This paper examines the impact of intellectual capital (IC) on the corporate performance of banking firms listed on the New York Stock Exchange from 2000 to 2011 as an attempt to rectify observed modeling issues in the extant IC performance models. It also studies the long-run behavior of IC as...

Most of the tests for symmetry are developed under the (implicit or explicit) null hypothesis of normal distribution. As is well known, many financial data exhibit fat tails, and therefore commonly used tests for symmetry (such as the standard b-sub-1 test based on sample skewness) are not valid...