Dans cet article, les co-mouvements entre les marchés boursiers émergents sont étudiés dans leur double dimension :l’intégration et la contagion. Nous avons mis en évidence que les cas extrêmes de segmentation stricte, d’intégration globale parfaite et d’intégration régionale...

This article uses the VAR–GARCH framework of Ling and McAleer (2003) to explore both return and volatility spillovers between world gold prices and stock market in China over the period from March 22, 2004 through March 31, 2011. It further analyzes the optimal weights and hedge ratios for...

In this article we take a recent generalized VAR-GARCH approach to examine the extent of volatility transmission between oil and stock markets in Europe and the United States at the sector-level. The empirical model is advantageous in that it typically allows simultaneous shock transmission in...

We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields...

This paper uses a time-varying parameter model with generalized autoregressive conditional heteroscedasticity effects to examine the dynamic behavior of crude-oil prices for the period February 7, 1997-January 8, 2010. Using data from four countries of the Gulf Cooperation Council, we find...