We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields...

This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level. We show that the estimated degrees of...

We explore whether finance influences the impact of labour market institutions on unemployment. Using a data set of 18 OECD countries over 1980-2004, we estimate a panel Vector AutoRegressive model. We check whether causalities from labour market variables (labour market regulation, union...

Ce travail utilise les techniques récentes de cointegration en panel et la méthode d'estimation SUR pour tester l'existence d'une relation de long terme entre le prix du pétrole et le cours des actions dans les pays du Conseil de Coopération du Golfe (CCG). Ces pays étant des acteurs...

We assess the sustainability of public finances in the EU15 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks. We also apply modern panel cointegration techniques developed by...

We use a 3-step analysis to assess the sustainability of public finances in the EU27. Firstly, we perform the SURADF specific panel unit root test to investigate the meanreverting behaviour of general government expenditures and revenues ratios. Secondly, we apply the bootstrap panel...