This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover twelve actively traded commodities including agriculture, metal and energy and four commodity indices. Price discovery is confirmed for eight commodities and three indices with a...

The study tests prominent equity market anomalies for six emerging markets - Brazil, China, India, Indonesia, South Korea and South Africa. We find that using the Fama French model (FFM) as performance benchmark the size anomaly is present in India, South Korea and Brazil, value anomaly in South...

In this paper, we examine the financial integration process amongst 17 EMU countries from January 2002 to June 2013 over a normal period as well as for the Global Financial Crisis (GFC) and Eurozone Debt Crisis (EDC) periods. We classify the economies in three groups (A, B and C) based on their...

In this study, we examine the regime shifts and volatility in stock market returns of eighteen European stock markets and the USA and utilize these regimes in asset allocation and risk management contexts. Using a Markov regime switching model, the study finds strong evidence of regime switching...

This paper examines the financial contagion in an emerging market setting by investigating the contagion effects of GIPSI (Greece, Ireland, Portugal, Spain and Italy), USA, UK and Japan markets on BRIICKS (Brazil, Russia, India, Indonesia, China, South Korea and South Africa) stock markets....

Purpose – This paper aims to examine the contagion effects of Greece, Ireland, Portugal, Spain and Italy (GIPSI) and US stock markets on seven Eurozone and six non-Eurozone stock markets. Design/methodology/approach -In this paper, a dynamic conditional correlation (DCC) model popularly known...

This paper examines the empirical relationship between remittances and economic growth in post-Soviet states, and the role that political stability plays in this context. Using Feasible Generalized Least Squares to tackle group heteroskedasticity and serial correlation in panels, we find that...

Développement financier, flux financiers et croissance économique

Using intradistribution dynamics and panel unit root tests, this study considers the economic convergence processes of 53 African countries during the period 1950–2008. The stochastic evidence reveals no global convergence among African countries but provides indications of convergence...