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Leverage, Sensitivity to Market Risk and Contagion: A Multi-Country Analysis for Shari’ah(Islamic) Stock Screening
el Alaoui, AbdelKader; Masih, Mansur; Bacha, Obiyathulla; … - Volkswirtschaftliche Fakultät, … - 2014
impacted by the financial crisis in terms of contagion in leverage with implications for portfolio diversification. Our …
Persistent link: https://www.econbiz.de/10011109107
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Comovement and resiliency of Islamic equity market: Evidence from GCC Islamic equity index based on wavelet analysis
Dewandaru, Ginanjar; Alaoui, Abdelkader; Masih, A. Mansur M. - Volkswirtschaftliche Fakultät, … - 2013
Co-movements in equity markets may reflect either financial contagion or stock market integration. While the former …
Persistent link: https://www.econbiz.de/10011110107
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Contagion Effects of US Subprime Crisis on ASEAN-5 Stock Markets: Evidence from MGARCH-DCC Application
Chunxiu, Ma; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014
We attempted to investigate the contagion effects of the US subprime crisis on ASEAN-5 stock markets [including … significant contagion effects from the US sub-prime crisis to the ASEAN-5 countries and the contagion occurred probably around mid …
Persistent link: https://www.econbiz.de/10011112957
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Assessing Time-Varying Stock Market Integration in EMU for Normal and Crisis Periods
Sehgal, Sanjay; Gupta, Priyanshi; Deisting, Florent - Volkswirtschaftliche Fakultät, … - 2014
seemed to be least integrated within the EMU stock market system. The findings further suggest presence of contagion effects …
Persistent link: https://www.econbiz.de/10011272696
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Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia
Kabir, Sarkar Humayun; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014
How does the extent of integration of the Malaysian equity market with the equity markets of Japan and USA vary at different time scales? How dynamic is the extent of co-movement of equity price with the major macroeconomic indicators of Malaysia? In order to answer these two major issues, this...
Persistent link: https://www.econbiz.de/10011112605
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Deciphering financial contagion in the euro area during the crisis
Tola, Albi; Wälti, Sébastien - Volkswirtschaftliche Fakultät, … - 2012
existence of financial contagion during this crisis, defined as the international transmission of country-specific shocks beyond … the normal channels of financial interdependence. Since contagion relates purely to country-specific shocks, we combine … the standard contagion test of Favero and Giavazzi (2002) with an innovative narrative approach to separate out global and …
Persistent link: https://www.econbiz.de/10011114307
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Risk-Factor Portfolios and Financial Stability
Garita, Gus - Volkswirtschaftliche Fakultät, … - 2009
This paper defines a risk-stability index (RSI) that takes into account the extreme dependence structure and the conditional probability of joint failure (CPJF) among risk factors in a portfolio. In combination, both the RSI and CPJF provide a valuable tool for analyzing risk from complementary...
Persistent link: https://www.econbiz.de/10008562630
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The Dynamics of House Prices - International Evidence
Sorensen, Jens Kjaer - Volkswirtschaftliche Fakultät, … - 2006
‘New’ long run data regarding Norway, the Netherlands, United Kingdom and USA has been collected and will be graphically, statistically and econometrically compiled and analyzed to prove that real house prices in the long run are constant and mean reverting. Co-integration of nominal house...
Persistent link: https://www.econbiz.de/10005789417
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Stock market integration: Malaysia and its major trading partners
Abdul Karim, Zulkefly; Abdul Karim, Bakri - Volkswirtschaftliche Fakultät, … - 2008
This study examines the stock market integration among Malaysia and its major trading partners by employing Johansen (1988) and Johansen and Juselius (1990) cointegration tests and VECM approach in investigating the dynamic linkages between markets. By using a weekly data, the results indicate...
Persistent link: https://www.econbiz.de/10008740571
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Testing Twin Deficits and Saving-Investment Nexus in Turkey
Ferda, HALICIOGLU; Kasim, EREN - Volkswirtschaftliche Fakultät, … - 2013
This paper provides fresh evidence on the validity of twin deficit and the Feldstein-Horioka hypotheses for Turkey during the period of 1987-2004 using bounds testing approach to cointegration. In order to explain the main determinants of the current account deficits in the long-run, the fiscal...
Persistent link: https://www.econbiz.de/10011114372