We analyze the performance characteristics of sustainable investments over the period 2004-2013. Our un- conditional analysis shows that the sustainable portfolios, represented by the Dow Jones Sustainability Indi- ces (DJSI) for the global and three regional markets, experience lower Sharpe...

This paper aims to explore the links between Brent crude oil index and stock markets index in OECD countries. We estimate time-varying conditional correlation relationships among these variables by employing Engle’s (2002) Dynamic Conditional Correlation (DCC). This process detects...

This paper aims to explore the links between Brent crude oil index and stock markets index in OECD countries. We estimate time-varying conditional correlation relationships among these variables by employing a Multivariate Fractionally Integrated Asymmetric, Power ARCH model with dynamic...

In this paper we examine the degree of interdependence between oil prices and four major countries (United

The aim of this paper is to study the degree of interdependence between oil price and stock market

This paper examines the dynamic dependence between American and four developed stock markets, namely, Japan, United Kingdom, Germany and France during a recent period including the global financial crisis 2007-2009. The econometric approach is based on the extreme-value time-varying copula...

We use a regime-switching model approach to investigate the dynamic linkages between the exchange rates and stock market returns for the BRICS countries (Brazil, Russia, India, China and South Africa). The univariate analysis indicates that stock returns

This paper examines the behavioural finance aspects of developed countries which invest significantly in R&D, while trying to benefit from this investment, within the framework of the so called ‘creative intelligence’. At this level, creative intellige

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

According to the size effect, small cap securities generally generate greater returns than those of large cap securities. Recent studies have however suggested that for certain periods, size cannot be considered as a relevant explanatory variable, and therefore as an anomaly. Our study, based on...