Abstract Purpose – Natural disasters may inflict significant damage upon international financial markets. The purpose of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and subsequent nuclear crisis....

We propose an ARCH model of the TGARCH type with an asymmetric Student's t distribution. It is built using the methodology of Fernandez and Steel (1998) and the traditional TGARCH model developed by Zakoian (1994). The model is used to describe series of stock market returns and to assess the...

This paper dissects with great acuteness, the issues of convergence in financial performance dynamics in the African continent through the lenses of stock market capitalization, value traded, turnover and number of listed companies. The empirical evidence is premised on 11 homogenous panels...

Abstract Purpose – Natural disasters may inflict significant damage upon international financial markets. The purpose of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and subsequent nuclear crisis....

The theoretical linkages between exchange rates and stock prices are microeconomic as well as macroeconomic in nature and may be observed on the short- and long-run. The paper examines the interactions between the exchange rates and stock prices in Romania, after 1997, taking into account the...

Financial integration among economies has the benefit of improving allocative efficiency and diversifying risk. However the recent global financial crisis, considered as the worst since the Great Depression has re-ignited the fierce debate about the merits of financial globalization and its...

The recent waves of political crises in Africa and the Middle East have inspired the debate over how political instability could pose a risk of financial contagion to emerging countries. With retrospect to the Kenyan political crisis, our findings suggest stock markets in Lebanon, Mauritius and...

Natural disasters may inflict significant damage upon international financial markets. Using 33 international stock indexes and exchange rates, this paper examines if any contagion occurred across financial markets after the March 11, 2011 Japanese earthquake, tsunami and nuclear crisis. Using...

Досліджено вплив міжнародних фондових ринків на розвиток українського фондового ринку. Визначено річні, квартальні, місячні та тижневі коефіцієнти кореляції....

In this paper, we propose to identify the dependence structure existing between the returns of equity and commodity futures and its evolution through the past 20 years. The key point is that we do not do not impose the dependence structure but let the data select it. To do so, we model the...