This paper examines the issue of co-movement in G7 equity markets. Earlier research in this area has focussed on the first or the second moment of the return process from different markets. The approach in this paper takes the analysis to a finer level to examine the co-movement between these...

This paper enhances the investigation of international linkages in stock markets by focusing on the information dependence between the markets. This is achieved by examining the causality in the variances of the stock returns from the seven members of the OECD group of countries. The...

This paper empirically analyzes the relationship between asset returns and consumption stream in Japan, based on the non-expected utility model developed by Epstein (1988) and Epstein and Zin (1990, 1991). Generalized method of moments procedure is used to estimate and test the model. Empirical...

This article represents a valuable contribution to the existing literature on the relationship between financial sector growth -- specifically, of microfinance institutions (MFIs) -- and poverty levels in developing countries. We propose a concept termed herein <italic>financial permeation</italic> to describe...

This study explores the time-varying correlations among the bank industry Credit Default Swap (CDS) indices for the EU, the UK and the US, using the asymmetric Dynamic Conditional Correlation (DCC) model developed by Cappiello <italic>et al</italic>. (2006). The main findings of the study include: (i) The...

This article investigates the sustainability of trade balances in the sub-Saharan African regions, using both the panel unit root (Im--Pesaran--Shin (IPS)) test proposed by Im <italic>et al.</italic> (2003) and the cross-sectionally augmented version of the IPS (Pesaran Cross-sectional IPS (CIPS)) test suggested...

In this paper, we investigate the conditional correlations between the bond markets in CEEC-3 (i.e., Poland, Czech Republic, and Hungary) and Germany from 2000 to 2013 using the asymmetric dynamic conditional correlation model developed by Cappiello et al. (J Financ Econ 4:557–572, <CitationRef CitationID="CR4">2006</CitationRef>)....</citationref>

This paper adopts the robust cross-correlation function methodology developed by Hong (J Econom 103:183–224, <CitationRef CitationID="CR14">2001</CitationRef>) in order to test for volatility and mean spillovers between Greek long-term government bond yields and the banking sector stock returns of four Southern European countries, namely...</citationref>

This article investigates volatility changes in the 10-year Greek sovereign bond index returns using the multiple structural break test developed by Bai and Perron (Econometrica 66:47–78, <CitationRef CitationID="CR1">1998</CitationRef>, J Appl Econ 18:1–22, <CitationRef CitationID="CR2">2003</CitationRef>), which allows for endogenous identification of break dates. We find...</citationref></citationref>

This paper examines the Melo-Vogt hypotheses and compares the effects of economic openness in China and India. The two defining characteristics of this paper are the addition of a cross term containing the economic globalization index to the traditional import demand function model, and testing...