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volatility for a sample of both net oil-exporting and net oil-importing countries between 1995:09 and 2013:07. We accomplish that …. The results for both stock market returns and volatility suggest that spillover effects vary across different time periods …
Persistent link: https://www.econbiz.de/10011112400
volatility-spillover for the BRIC countries by using cointegration and the VECM-MGARCH technique. The results reveal that the oil … where it significantly affects the BRENT prices. In terms of shock transmission and volatility spillover, the relationship …
Persistent link: https://www.econbiz.de/10008498490
This study examines the effect of oil prices on domestic investment in Ghana using quarterly time series data from 1984 to 2012. Dynamic Ordinary Least Squares (DOLS) technique was used to estimate the effect of oil price on domestic investment in Ghana. The analysis revealed that there is long...
Persistent link: https://www.econbiz.de/10011113216
-crisis period. Next, cointegration test is employed to test the long-run stationary relationship among the stock markets. The number …
Persistent link: https://www.econbiz.de/10005836484
This thesis provides clear empirical evidence that the establishment of the EMU has influenced the stock market integration process within the Euro-area. This is mostly evident across the large four EMU-stock markets: France, Germany, Italy and Netherlands, which appear to be near to perfect...
Persistent link: https://www.econbiz.de/10011107334
This paper analyses whether stock markets of South East Europe (SEE) have become more integrated with regional and global stock markets during 2000s. Using a variety of co integration methodologies we show that SEE stock markets have no long-run relationship with their mature counterparts. This...
Persistent link: https://www.econbiz.de/10011109681
cointegration procedure while for the short-term relations we use the Granger causality procedure. We find that global crisis …
Persistent link: https://www.econbiz.de/10011113988
This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...
Persistent link: https://www.econbiz.de/10005787110
, Japan and Singapore). The index prices are non-stationary so we used cointegration methodologies in order to explore …-Hansen test rejects the hypothesis of no cointegration with structural breaks. Our results suggest that in the long-term the …
Persistent link: https://www.econbiz.de/10008567681
In the recent rapid reforms made the global into a global village in nature and in terms of efficiency, transparency. The information flow in one market may affect the other markets in the world, because of its integration. In this regard, this paper explores the objective whether there is any...
Persistent link: https://www.econbiz.de/10005036833