We investigate whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on Johannesburg Stock Exchange and whether these jumps cause asset return volatility. Using stock market data from June 2002...

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index (VIX) and stock market returns, with data from 15 countries representing both developed and emerging economies.1 We also examine the dynamic variation, if any in the nature of the...

This study investigated the relationship between financial development and economic growth for Ireland for the period 1965-2007 using a vector error correction model (VECM). Questions were raised whether financial development causes economic growth or reversely taking into account the positive...

This study examines the time series behavior of investment in physical capital, human capital (comprising education and health) and output in a co-integration framework, taking growth of primary gross enrolment rate and a dummy for structural adjustment programme (openness which has been...

This study examines the relationship between economic growth as measured by GDP per capita and foreign direct investment for Singapore, using the methodology of Granger causality and vector auto regression (VAR). Evidence shows that there is a unidirectional Granger causation from foreign direct...

This study examines the impact of volatility shifts on volatility persistence for three major sector indices of Istanbul Stock Exchange (ISE) and ISE National 100 index over the period beginning from 1997 and ending in 2009. The exponential generalized autoregressive conditional...

In recent years, the emergence of rising budget deficit is the main reason forcing economists to investigate the reasons for changes in fiscal balances. The purpose of the paper is to investigate the relationship between budget deficit and macroeconomic fundamentals using data from Azerbaijan....

The current study examines the turn of the month effect on stock returns in 20 countries. This will allow us to explore whether the seasonal patterns usually found in global data; America, Australia, Europe and Asia. Ordinary Least Squares (OLS) is problematic as it leads to unreliable...

We estimate the steady state growth rate for the Nordic countries using a “knowledge economy” approach. An endogenous growth framework is employed, in which total factor productivity is a function of human capital (measured by average years of education), trade openness, research and...