This paper examines whether a volatility/risk transmission exists between the Dow Jones Islamic stock and three conventional stock markets for the U.S., Europe, and Asia during the pre- and the in- and post-2008 crisis periods. It also explores the volatility spillover dynamics between those...

In this paper, we investigate the dynamic relationship between different oil price shocks and the South African stock market using a sign restriction structural vector autoregression (VAR) approach for the period 1973:01 to 2011:07. The results show that for an oil-importing country like South...

This paper examines whether a volatility/risk transmission exists between world energy and the US financial markets during the pre-, the in-, and the post-2008 crisis periods by employing world oil prices and Cleveland financial stress index. It also explores causal dynamics and derives the...

This paper makes use of two types of extreme value distributions, namely: the generalised extreme value distribution often referred to as the block of maxima method (BMM), and the peak-over-threshold method (POT) of the extreme value distributions, to model the financial tail risks associated...

The objective of this paper is to explore the sensitivity of industry-specific stock returns to monetary policy and macroeconomic news. The paper looks at a range of industry-specific South African stock market indices and evaluates the sensitivity of these indices to a various unanticipated...

We compare nonlinear cointegration tests with the standard cointegration tests in studying the relationship of the Dow Jones Islamic finance index with three other conventional equity market indices. Our results show that there is a long-run nonlinear cointegrating relationship between the Dow...

This paper tests for house price bubbles in the South African housing market, using quarterly data from 1969:Q2 to 2009:Q3, based on the unit root test developed by Phillips et al. 2010. This test allows us to detect whether a bubble exists or not, as well as the date of emergence and collapse...