This paper examines the relationship between two Presidential elections and Stock returns in Egypt. The available literature showed mixed results on the relationship between Presidential Elections and Stock Returns. The author examined daily data and used an OLS regression. Each Event Window...

The authors analyze the structure of the market quotation of financial assets and come to the conclusion that one of its components is a financial asset identical with a commercial credit. Hence, in terms of the Islamic financial system any financial asset is inappropriate for investment because...

Some economy theories assume that human is rational and when they make a decision in uncertainty conditions, they will prefer the best choice. Many evidences have been given against these theories. Especially psychology professor Daniel Kahneman’s studies provide evidence that human behave...

The global financial crisis of 2008 was a crisis affecting both the financial sector and the “real economy”. This paper analyzes the transmission of unexpected shocks from the financial sector in the US to other countries and sectors. We test the hypothesis that the financial crisis spread...

This paper proposes time-varying Granger causality tests based on the tests developed by Hong (2001) and two dynamic correlation estimators (i.e., rolling correlation and dynamic conditional correlation multivariate GARCH), here called the rolling Hong and DCC-MGARCH Hong tests, respectively....

This paper analyses the contagion effects of the Greek stock market to the European stock markets of the NYSE Euronext group (Belgium, France, the Netherlands and Portugal), in the context of the 2010 sovereign debt crisis. Three tests of contagion are performed using copula models. The first...

This paper investigates the existence of herding in the global equity market. We apply a methodology which utilises cross-country dispersion in index returns. An analysis of national indices world-wide unveils virtually no instances of global information cascades, as price patterns largely...

The consequences of regional trade agreements (RTAs) on countries׳ welfare are disputed. In this paper, we assess these effects using stock returns from a recent data set that spans over 200 RTA announcements, 80 economies, and 20 years. We measure the effects of news concerning RTAs on the...

We analyze the impact of the pro-Russian conflict on stock returns in Russia and the Ukraine during the period November 21, 2013 to September 29, 2014. We utilize a newly created indicator for the degree of (de-)escalation based on an Internet search for conflict-related news. We find that...

Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...