We examine the long memory property and structural break in the spot and futures gold volatility in Russia from 2008 through 2013. We find strong evidence of long memory in the volatility of both spot and futures gold series. The break dates are associated with the recent global financial...

Purpose: This study aims to examine the volatility spillover effects between oil and stock returns in the emerging seven economies. Design/methodology/approach: In this study, the Granger causality test and vector autoregression-generalized autoregressive conditional heteroskedasticity approach...

This paper examines the dividend-collecting firms and negative dividend payers listed on Istanbul Stock Exchange (ISE) from 1991 through 2006. Turkey used to be a unique country in terms of 50% mandatory cash dividend payment application, and this policy pushed some firms to create other ways to...

This paper examines the impact of FDI investment on air pollution in China using 286 cities from 2001 through 2007. This paper provides a better understanding of economic growth and foreign investment while maintaining a sustainable environment. In order to achieve this task, the current paper...

This paper examines the market efficiency of Istanbul Stock Exchange (ISE) listed non-financial firms from 2000 through 2002. A four-stage data envelope analysis (DEA) is developed to measure the performance of firms before and after the 2001 financial crisis. At each stage, production,...

This paper investigates the validation of the Mixture of Distributions Hypothesis (MDH) using trading volume and number of trades as contemporaneous proxies for information arrival in 15 sector indices of the Saudi Stock Exchange (Tadawul) using the TGARCH model. Findings provide strong evidence...

The main objective of this paper is to test the Efficient Market Hypothesis (EMH) for countries at different economic development levels. The paper employs the use of the FTSE Group classification system and provides a comprehensive survey of international evidence including 17 developed and 12...