Purpose – The purpose of this paper is to discuss a multiscale pricing model for the French stock market by combining wavelet analysis and Fama-French three-factor model. The objective is to examine the relationship between stock returns and Fama-French risk factors at different time-scales....

Purpose – In this paper, it is set out a hybrid data analysis method based on the combination of wavelet techniques and principal-components regression (PCR). The purpose of this paper is to study the dynamics of the stock returns within the French stock market. Design/methodology/approach –...

Purpose – The purpose of this paper is to examine the long-run relationship between the Indian capital markets and key macroeconomic variables such as interest rates, inflation rate, exchange rates and gross domestic savings (GDS) of Indian economy. Design/methodology/approach – Quarterly...

Purpose – The purpose of this paper is to associate a probabilistic confidence with the stock market interval forecasts obtained with the interval least squares (ILS) algorithm. The term probabilistic confidence in this paper means the probability of a point observation that will fall in the...

Purpose – The purpose of this paper is to discuss a widespread idea in the financial literature: information in financial markets is free. Indeed, whenever an investor wants to intervene to purchase and/or to sell, he/she faces the need to access the information, which he/she judges to ensure...

Purpose – The purpose of this paper is to explore the determinants of the cross-market transmission mechanism for terrorist shocks, focusing on two major terrorist events and 68 national stock markets. Design/methodology/approach – The paper generates daily abnormal returns from a...

Purpose – The purpose of this paper is to present a new strategy of portfolio selection. Design/methodology/approach – After making a comparative survey of different strategies of portfolio selection adopted by portfolio managers in Tunisia, the paper proposes a new strategy, which it calls...

Purpose – The purpose of this paper is to discuss a widespread idea in the financial literature: information in financial markets is free. Indeed, whenever an investor wants to intervene to purchase and/or to sell, he/she faces the need to access the information, which he/she judges to ensure...

Purpose – The purpose of this paper is to examine the long-run relationship between the Indian capital markets and key macroeconomic variables such as interest rates, inflation rate, exchange rates and gross domestic savings (GDS) of Indian economy. Design/methodology/approach – Quarterly...