We analyze the reactions of the returns of four European stock markets to sovereign credit rating changes by Fitch, Moody’s, and Standard and Poor’s (S&P) during the period from June 2008 to June 2012 using panel regression equations. We find that (i) upgrades and downgrades affect both own...

In this note, we present a wealth model of a two-country economy where ffnancial assets and goods are traded. We consider the case where the agents are risk neutral, a very common assumption in ffnance in order to have explicit solutions for prices, and in particular in international ffnance for...

In this paper we make use of several multivariate GARCH models to investigate both return and volatility spillovers between world gold prices and stock market in China over the period from March 22, 2004 through March 31, 2011. We also analyze the optimal weights and hedge ratios for gold-stock...

The paper analyses the time-varying conditional correlations between stock markets and oil

This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasing power parity (PPP) as well as temporal...

The aim of this research is to examine the structural changes of European carbon futures price under the European Union Emissions Trading Scheme (EU ETS) during 2005-2012. More speci fically, by relying on the daily EU allowance (EUA) futures contract, we investigate the structural changes of...

We empirically reinvestigate the issue of excess comovement of commodity prices initially raised in Pindyck and Rotemberg (1990) and show that excess comovement, when it exists, can be related to hedging pressure and speculative intensity in commodity futures markets. Excess comovement appears...

The two major banks in Cyprus - Bank of Cyprus and Laiki Popular Bank - have lost more than 4 billion EUR because of their exposure to the Greek bond market. In this paper, we look at how the European Union has responded to banking and financial problems that have affected Cyprus since the end...

Two integrated financial markets are generally subjected to common shocks revealing that commonalities in funda- mentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory

This paper shows the usefulness and relevance of the multivariate fractional cointegration in exploring the dynamic