This paper investigates the behavior of stock returns in an emerging stock market namely, the Macedonian Stock Exchange, focusing on the relationship between returns and conditional volatility. The conditional mean follows a GARCH-M model, while for the conditional variance one symmetric (GARCH)...

There has been a well-known relationship between macro financial fundamentals and oil prices, yet there is also ample evidence that this relationship weakens during some periods. In this paper, we investigated whether the relationship between oil and macro financial fundamentals vary depending...

Holding on gold as an asset has been considered a traditional safe haven for risk averse investors even though holding gold has no yield other than capital asset, especially during the volatile economic periods. Under the Breton Woods agreement the exchange rate is fixed by agreement and the...

In this study we investigate using the mean reversion processes in financial risk management, as they provide an good description of stock price uctuations and market risks. This paper does not aim at being exhaustive, but gives examples for practically implementable models allowing for stylised...

Islamic Finance has evolved over the past few decades, and stands at over a trillion dollar today. At the foundations of Islamic finance lay the concept of risk sharing, and the purest form of it in the modern day finance is equity investments. Jurists mostly have a consensus on accepting the...

The paper is the first attempt to analyse the impact of debt on economic growth in the context of Indonesia by combining the application of wavelet and non-linear techniques. Our results tend to indicate that there are complex lead-lag dynamic interactions between external debt-to-GDP ratio and...

The way in which market participants form expectations affects the dynamic properties of financial asset prices and therefore the appropriateness of different econometric tools used for empirical asset pricing. In addition to standard rational expectations models, this thesis studies a class of...

The preponderance of the linear approach in the stock market modeling is the result of the Frisch-Slutsky paradigm which implies that the market can only converge to an equilibrium point or diverge, according to a monotonic or oscillatory trajectory. Moreover, this description of reality is...