Purpose – The purpose is of this paper is to investigate whether the tracking ability of exchange traded funds (ETFs) is lower in highly volatile periods, and to shed more light on the factors behind the tracking error. Design/methodology/approach – The authors apply the Error Correction...

Purpose - The purpose of this paper is to assess the benefits to investors of international diversification among only Islamic funds. Compared to conventional investors who are not restricted in their choice of funds, Islamic investors are restricted to investing in shari’a-compliant funds,...

Purpose – The purpose of this paper is to assess the benefits to investors of international diversification among only Islamic funds. Compared to conventional investors who are not restricted in their choice of funds, Islamic investors are restricted to investing in shari’a -compliant funds,...

Purpose – The purpose of this paper is to focus on the performance of three alternative value-at-risk (VaR) models to provide suitable estimates for measuring and forecasting market risk. The data sample consists of five international developed and emerging stock market indices over the time...

Purpose – Model estimation gives students insights beyond what they can gain from textbook presentations. This paper introduces a way to make doing this easier and more effective. It introduces the program Gnu Regression, Econometrics and Time-series Library (GRETL) which may be downloaded...

Purpose – The purpose of this paper is to propose an empirical procedure for examining the time-varying features of cross-market correlations in selected Gulf stock markets. Design/methodology/approach – The paper directly infers the cross-market linkages from the stock data using a...

Purpose – The purpose of this paper is to analyse the dividend policy of firms from a macroeconomic perspective. In order to do so inflation and real growth are also considered. Design/methodology/approach – The paper examines the relationship between dividends, corporate earnings, real...

Purpose – The purpose of this paper is to estimate volatility in African stock markets (ASMs), taking account of periodic level shifts in the mean level of volatility, where the regime shifts are determined endogenously. Design/methodology/approach – Volatility estimates are incorporated...

Purpose – How is liquidity formed in emerging financial markets? Do traders preannounce their orders to attract outside liquidity providers (a practice referred to as sunshine trading)? The purpose of this paper is to study liquidity formation of infrequently traded stocks. It also...

Purpose – The purpose of this paper is to investigate the asymptotic distribution of the extreme daily stock returns in African stock markets over the period 1996-2007 and examine the implications for downside risk measurement. Design/methodology/approach – Extreme value theory methods are...