The paper is the first attempt to analyse the impact of debt on economic growth in the context of Indonesia by combining the application of wavelet and non-linear techniques. Our results tend to indicate that there are complex lead-lag dynamic interactions between external debt-to-GDP ratio and...

The way in which market participants form expectations affects the dynamic properties of financial asset prices and therefore the appropriateness of different econometric tools used for empirical asset pricing. In addition to standard rational expectations models, this thesis studies a class of...

This paper investigates the co-movement of nine Islamic Exchange Traded Fund (ETF) returns using wavelet coherence methods. The results tend to indicate consistent co-movement between most of the ETF returns especially in the long run. The study also uncovers evidence of wide variation of...

Very often the crisis induces changes in the linkages between the financial variables. This paper explores, through a Vector Autoregression model and Granger Causality tests, the impact of the global crisis on the relation between the Romanian stock prices and the interest rates. We found this...

The paper is the first attempt to evaluate the role of gold as a hedge (negative or low correlation with equities in normal market conditions) and safe haven (negative or low correlation in times of market turbulence) by using the daily data for gold and Shariah-compliant equities ranging from...

The fundamental aim of the paper is to analyze the presence and magnitude of the volatility transmissions in emerging markets, namely India, Hungary, Poland, Turkey and Brazil prior to, and during the latest financial turmoil. Using weekly returns of stock market indices from 2005 to 2011, the...

This paper attempts to examine whether a long-run theoretical relationship does indeed exist between the level of inflation in South Africa and the amount of FDI eventually received by the country. It also attempts to provide insight into the purported macroeconomic benefits of the policy of...

In this study we were motivated to ascertain whether the profit rates of the investment deposit accounts based on the profit and loss sharing contracts offered by the Islamic banks are truly based on the performance of the underlying assets or otherwise, by taking Malaysia as our case study....

The causal relations and dynamic interactions among macroeconomic variables and stock market index are important in the formulation of a country’s macroeconomic policy. In this study, to investigate the lead-lag relationship between stock market index and macroeconomic variables, we employ...

This study is an attempt to review the theory and applications of autoregressive fractionally integrated moving average (ARFIMA) and fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) models, mainly for the purpose of the description of the observed...