This study investigates the link between price discovery dynamics in sovereign credit default swaps (CDS) and bond markets and degree of financial integration of emerging markets. Using CDS and sovereign bond spreads, the price discovery mechanism was tested using a vector error correction...

Despite recent extreme fluctuations of the Middle East and North African (MENA) stock markets, we do not find strong evidence of rational speculative bubbles in the perspective of both domestic and U.S.-based investors. Fractional integration tests built on ARFIMA models do not support the...

This paper examines the feasibility and economic benefits of stock exchanges alliances among OIC countries. Despite common Islamic culture, OIC local capital market conditions are heterogeneous depending on legal jurisdictions, income level and the maturity of stock market development....

This study provides new evidence on the role of financial development in accounting for economic growth. To derive feasible policy implications, we estimate not only unbalanced panel regressions with period fixed effects, but also variance decompositions of annual GDP growth rates to examine...

We investigate financial integration of MENA region to facilitate a more in-depth exploration of the structure of interdependence and transmission mechanism of stock returns and volatility between MENA and world stock markets. The EGARCH-M models with a generalized error distribution are...

Purpose – The purpose of this paper is to examine the existence of rational speculative bubbles in the Middle East and North African (MENA) stock markets. Design/methodology/approach – To complement shortcomings of the traditional bubble tests, such as unit root tests and cointegration...

This study provides new evidence on the role of financial development and stock market development in accounting for economic growth across geographic regions and income groups. To derive feasible policy implications, we estimate not only unbalanced panel regressions with period fixed effects,...