The paper is the first attempt to estimate systematic risk 'beta' at different time scales in the context of the emerging Gulf Cooperation Council (GCC) equity markets by applying a relatively new approach in finance known as wavelet analysis. Our results indicate that on average beta...

We test the impact of taxes and governance systems on dividend payouts across countries. We show that, unlike previous studies, firms in strong investor protection countries pay lower cash dividends than in weak protection countries when the classical tax system is implemented, but they...

We examine the impact of mispricing on corporate investments and its components: capital expenditures, research and development, acquisitions, and asset sales. By decomposing the market-to-book ratio into mispricing and growth components, we show that corporate investments are linked to...

This paper applies the same methodology applied by Essayyad et al. (2009) to the construction of an alternative Euro dollar index. Specifically, it employs multivariate statistical tests to identify weights based on 12 economic and financial factors that are deemed theoretically more relevant in...

The paper investigates the impact of oil price volatility on the dynamics of systematic risk in eight equity sectors for Kuwait. To achieve this goal, it uses the Kalman filter approach to estimate the time-variant systematic risk in those sectors. This approach enables us to study the...

This research is an inter-temporal update of an empirical paper published by Essayyad et al., which is based on work of Loretan and Nardo et al. We continue to employ the same principal component technique, to construct an alternative US Dollar Index to gauge movements in currency markets. The...

The methodology of building up a dollar index capturing the appropriate weights of different currencies of trading partners has been challenged. This paper tries to suggest a methodological improvement. The authors employ multivariate statistical techniques to identify appropriate financial and...

The purpose of this paper is to study the direction of causality between the stock market and macroeconomic variables. India is taken as a case study. Although, there have been many studies which attempted to find out the relationship between Indian stock market and economic variables, this...

This paper seeks to close the gap of the lack of empirical evidence surrounding the different impact of conventional interest rates on Islamic finance components – Islamic stock markets, Islamic banking and Islamic insurance (called takaful). Such evidence remains imperative in order for the...

Generally, Shariah (Islamic) indices are considered to have lower portfolio betas relative to conventional ones. The lower portfolio beta of Islamic indexes is a logical result of Shariah screening. As Shariah screening eliminates stocks with high financial leverage, the resulting portfolio beta...