This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on Canada, we use six alternative bilateral and one multilateral exchange rate proxies. Furthermore, using both a two-factor and a three-factor capital asset pricing model (CAPM),...

This paper studies the relationship between oil prices and US dollar exchange rates using wavelet multi-resolution analysis. We characterized the oil price–exchange rate relationship for different timescales in an attempt to disentangle the possible existence of contagion and interdependence...

By analyzing the dynamic conditional correlations (DCC) of the daily stock returns of 10 emerging economies in comparison with those of the US for the period of 2006–2010, we find different patterns of crisis spillover among 10 emerging economies. While a group of countries has three...

The paper aims to test the existence of financial contagion between foreign exchange markets of several emerging and developed countries during the U.S. subprime crisis. As a result of DCC-GARCH analysis, we find the evidence of contagion during U.S. subprime crisis for most of the developed and...

In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the...

In this paper, we use the common structural break test suggested by Bai et al. (1998) to test for a common structural break in the stock prices of the US, the UK, and Japan. On the basis of the structural break, we divide each country's stock price series into sub-samples and investigate whether...

Investors use mean reversion model to make decisions on which stocks should be taken in their portfolios according to their mean values. The first goal of the paper is to test the validity of the mean reversion model in emerging markets. Second, it aims to determine the best portfolio investment...

This paper examines the financial contagion in an emerging market setting by investigating the contagion effects of GIPSI (Greece, Ireland, Portugal, Spain and Italy), USA, UK and Japan markets on BRIICKS (Brazil, Russia, India, Indonesia, China, South Korea and South Africa) stock markets....

In this paper, we first modify the stochastic dominance (SD) test for risk averters proposed by Davidson and Duclos (2000) to be the SD test for risk seekers. We then adopt both tests to examine the SD relationships between stock indices and their corresponding index futures for 10 countries....

This study makes a contribution to the literature on bank opaqueness and bank credit through empirical evidence gathered from data of 310 NYSE and NASDAQ banks for the period 1Q1990 to 4Q2009. In addition to developing an opacity index based on bank risk information, the empirical analysis...