Barberis and Shleifer (2003) argue that style investing generates momentum and reversals in style and individual asset returns, as well as comovement between individual assets and their styles. Consistent with these predictions, in some specifications, past style returns help explain future...

The effects war and terrorism have on the covariance between oil prices and the indices of four major stock markets – the American S&P500, the European DAX, CAC40 and FTSE100 – using non-linear BEKK–GARCH type models are investigated. The findings indicate that the covariance between stock...