This paper investigates the nature of the causal relationships among stock prices and effective exchange rates in four old EU member countries (Austria, France, Germany, and the UK), four new EU member countries (Czech Republic, Hungary, Poland, and Slovakia), and in the United States. Both the...

This paper investigates the differences in structures of causal relationships between stock and currency markets for advanced and emerging economies on the example of Switzerland and Poland. The bootstrap–based linear causality analysis as well as nonlinear causality tests were conducted for...

This study attempts to estimate the impact of mega sports events organization on the stock market. For this purpose, there were selected seven sporting events taking place in the World Cup and European Football Championships and summer and winter Olympic Games. Next their impact on national...

This study examines the existence of herd behavior among foreign investors in the Malaysian capital market. In methodology, the study analyzes the herd behavior by estimating vector error correction (VECM) model of FPI inflows as well as FPI outflows from/to major investors such as the United...

We propose a method for calculating the macroeconomic costs of banking crises that controls for the downward impact of recessions on banking activity. In contrast to earlier research, we estimate the cost of crises based on the size of banking crises. The extent of a crisis is measured using...

This aim of this paper is to test whether or not there was evidence of financial crises ‘contagion’. The sovereignty debt bonds data for Brazil, Mexico, Russia and Argentine were used to implement such test. The ‘contagion’ hypothesis is tested using multivariate volatility models....

The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Estimating multivariate EGARCH processes for the structural financial innovations determines causality-in-variance effects and...

The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

The present paper aims to study the causal relationship between the US and Indian equity markets using Johansen’s cointegration and variance decomposition analyses. Since the opening up of the economy and subsequent economic and political reforms, India has made tremendous strides in the...

This paper investigates the causal links between different kinds of budgetary expenditure and the economic growth of Poland. The empirical analysis was based on both the linear and nonlinear Granger causality tests and the aim was to evaluate the applicability of Wagner’s Law and contrasting...