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 paper investigates the dynamic interactions between four macroeconomic variables and stock prices in Pakistan, using cointegration and Granger causality tests that are robust to structural breaks. The results strongly suggest cointegration between the stock prices and macroeconomic...

For both risk management and portfolio selection purposes, modeling the linkage across financial markets is crucial, especially among neighboring stock markets. In investigating the dependence or co-movement of three or more stock markets in different countries, researchers frequently use...

This paper investigates the most appropriate model for generating scenarios for daily foreign exchange rates for a long history of a large number of daily exchange rates and finds: returns are not normal; a mean reversion model is rarely appropriate; sampling from historical returns (natural log...

Based on basic financial models and reports in the business press, exchange rate movements are generally believed to affect the value of nonfinancial firms. In contrast, the empirical research on nonfinancial firms typically produces fewer significant exposures estimates than researchers...

This thesis provides clear empirical evidence that the establishment of the EMU has influenced the stock market integration process within the Euro-area. This is mostly evident across the large four EMU-stock markets: France, Germany, Italy and Netherlands, which appear to be near to perfect...

International capital markets tend to be characterized by volatility, which is always a function of world economic and political environment and is frequently associated with contagion risk and increased cross-market linkages. This phenomenon affects both developed markets and emerging markets,...

Why not set up some public-service robot traders to counteract the behavior of traders when it snowballs into extreme moves? I show a blueprint of how this can be accomplished taking advantage of the theory of complex systems.

Despite experiencing rapid growth in their number and size, existing evidence suggests that African stock markets remain highly fragmented, small, illiquid and technologically weak, severely affecting their informational efficiency. Therefore, this study attempts to empirically ascertain whether...

The aim of this paper is to investigate the return and volatility linkages among Moroccan stock market with that of U.S. and three European countries (France, Germany and U.K.) before and during the financial crisis. More specifically, we use stock returns in MASI, CAC, DAX, FTSE and NASDAQ as...