Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH)....

The effects of unanticipated movements in global risk on nine emerging bond markets are investigated. The components of global risk are volatility, credit, and liquidity risks. Country and contagion risks are also studied individually. A historical decomposition of bond spreads is used to...

How stock markets react to news is an established area of research. We examine the behaviour of the Saudi Stock Market (SSM) in response to quarterly earnings announcements where there are no analysts' forecasts, with the aim of examining the efficiency of the market. The SSM seems to underreact...

With the opening up of the Saudi Stock Market to foreign participation, international interest in this important oil dominated economy has intensified. This paper examines the interrelationships between the 12 sector indices in the Saudi Arabian Equity market - the largest equity market in the...

The U.S. business cycle typically leads the European cycle by a few quarters and this can be used to forecast euro area GDP. We investigate whether financial variables carry additional information. We use vector autoregressions (VARs) which include the U.S. and the euro area GDPs as a minimal...

India’s financial system compares favorably internationally, but rising credit risk and liquidity pressures are putting it under strain. The staff report for India’s 2008 Article IV Consultation discusses economic developments and policies. The authorities have already taken...

The study shows that the global financial crisis has adversely affected Kuwait’s financial system, especially in the Investment Company (IC) sector. Stress tests indicate that, in contrast to the ICs, the banking system could broadly withstand significant shocks. The Central Bank of...

The slow-paced growth rate of the U.S. economy, notwithstanding the bolstering attempts is disheartening. Implementing financial reforms and highly accommodative monetary policy are hoped to have a desired effect. Deficit reduction, debt ratio stabilizing strategies, removal of fiscal cliff...

France’s near–term economic outlook is moderately positive, but clouded by risks from the global environment. The government’s reformist intentions provide an historic opportunity to place France onto a sustained higher growth path with greater opportunities for all....