This paper investigates the interaction among the foreign exchange, stock, and commodity markets of Northeast Asian countries according to the cross-correlation function (CCF) approach. We analyze the impact of the global financial crisis and the European sovereign crisis on the financial market...

(GEM) based on the dynamic equicorrelation of trading volume and stock returns. We find that the hot IPO effect ends after two years with the imbalance between demand and supply for GEM stock relieved, which indicates that the rational learning process requires almost two years for most...

This paper examines the Melo-Vogt hypotheses and compares the effects of economic openness in China and India. The two defining characteristics of this paper are the addition of a cross term containing the economic globalization index to the traditional import demand function model, and testing...

In this paper, we examine the relationship among real oil prices, global economic activity, real value of the US dollar, and real interest rates during the period 1988:1 to 2011:12. We employ the Gregory and Hansen (1996) cointegration test with structural breaks to investigate the long-run...

By applying the GARCH-DCC model, we reexamine the Phillips curve based on a time-varying correlation analysis for Canada and the United States from January 1985 to December 2012. The empirical results show that the sign of the correlation between the inflation rate and the unemployment rate is...

This paper discusses the time-varying degree of flexibility in exchange rate regimes and assesses the extent to which securities markets are integrated in East Asia. The dynamic conditional correlation model developed by Engle (2002) is used to analyze the time-varying characteristics of the...