Volatility in financial markets is asymmetric in nature with leverage effect a widely accepted market phenomenon. This paper uses exchange rate series from Ghana and Tanzania to empirically show and argue that the foreign exchange market is a 'special case' of the financial market family; for...

The paper examines the presence of structural changes in Doha Securities Market (DSM) by using GARCH models during the period 2002-2008. This issue is related to the market liberalisation reforms permitting foreign investors to enter the equity market in 2005. The analysis reveals a high risk in...

In this paper we identify stock market crises in Tunisia since 1992 using the CMAX method. Our empirical evidence shows that the monetary and financial indicators are considered as explanatory factors signalling the occurrence of these crises. The analysis also highlights some mechanisms that...

Using time-varying systematic risk model, the paper estimates risk in a number of stock markets in the Gulf Cooperation Council (GCC) countries, including Saudi, Kuwait, Dubai and Abu-Dhabi markets. The results in the paper indicate that Saudi market is the most perilous in the group, as it...

This paper examines the response of Stock Prices (SPs) in Germany, Italy, and the UK to shocks to US Stock Prices (USSPs) using Vector Error Correction Models (VECMs) and cross-country stock return correlations. Our results yield clear implications. Positive shocks to USSPs lead to significant,...

How stock markets react to news is an established area of research. We examine the behaviour of the Saudi Stock Market (SSM) in response to quarterly earnings announcements where there are no analysts' forecasts, with the aim of examining the efficiency of the market. The SSM seems to underreact...

This paper investigates long-memory behaviour of stock returns of Egypt, Tunisa and Morrocco stock markets using daily stock price data. Results in the paper support evidence of stationary short-memory process for the returns of the three markets. Short memory of stock returns implies that most...

Given the change in oil price reflects change in observable economic fundamentals of Gulf Co-operation Council (GCC) economies, in this paper non-parametric co-integration and variance bound tests are employed to decompose volatility into fundamental and non-fundamental components. Findings of...

This paper investigates common cyclical feature between crude oil market and stock markets in major oil-exporting countries including Saudi Arabia, United Arab Emirates (UAE) and Kuwait. The results of the paper show the evidence of common cyclical association between oil price and each of the...