In this paper we make use of several multivariate GARCH models to investigate both return and volatility spillovers between world gold prices and stock market in China over the period from March 22, 2004 through March 31, 2011. We also analyze the optimal weights and hedge ratios for gold-stock...

We investigate the dynamic relationships between the US five-year financial CDS sector index spreads for the banking, financial services and insurance sectors in the short- and long-run over the recent period which is marked by the onset of the global financial crisis. For this purpose, we...

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 a bootstrap panel analysis that allows for cross-country dependence, without requiring the use of pre-tests for a unit root, we study the causality links between energy use and employment for a sample of 16 African countries over the 1991-2010 period (according to availability of...

We make use of a bootstrap panel analysis of causality between energy use and economic growth for a sample of sixteen African countries over the period 1988-2010. Our results show that growth and energy use are strongly linked in Africa. However, African countries are heterogeneous and there is...

This paper aims to study the performance of Islamic finance regarding that of conventional finance over the last decade. This question is particularly interesting as within the current financial crisis, conventional finance is being rather ineffectual and risky and that in the same time one can...

In this article, we show how the copula-GARCH approach can be appro- priately used to investigate the conditional dependence structure between the crude oil and natural gas markets as well as to derive implications for port- folio risk management in extreme economic conditions. Using daily price...

This study investigates the energy-growth-trade nexus in Pakistan by using the annual time series data for the period of 1973-2011. Our main results show: i) the presence of long-run link between energy consumption and trade performance; ii) positive impact of gross domestic product, exports, and...

We use the recently developed nonlinear autoregressive distributed lags (NARDL) model to examine the pass-through of changes in crude oil prices, natural gas prices, coal prices and electricity prices to the CO2 emission allowance prices. This approach allows one to simultaneously test the...

This paper examines the dependence structure between the emerging stock markets of the BRICS countries (Brazil, Russia, India, China and South Africa) and influential global factors (the S&P 500 index, the commodity markets, the global stock market uncertainty and the US economic policy...