Based on multivariate Markov-switching models, this paper presents new results on the interactions between global imbalances, credit spreads, housing markets, macroeconomic variables, commodities and equities during Q1-1987/Q1-2011. We show that rising global imbalances and the uncontrolled...

Based on multivariate Markov-switching models, this paper presents new results on the interactions between global imbalances, credit spreads, housing markets, macroeconomic variables, commodities and equities during Q1-1987/Q1-2011. We show that rising global imbalances and the uncontrolled...

The financial crisis has strongly eroded the financial standing of a significant number of romanian enterprises.Exception from this fact was made not even by the large companies,listed on Bucharest Stock Exchange, which, due to the contraction of commodity markets and to the limitation of...

The repercussions of the recent financial crisis were felt over different parts of the world causing much calamity to different markets, economies and investors. The capital markets, in particular, took a severe hit during the crisis plummeting to all-time lows. However, before the crisis, the...

Cointegration tests and ex ante trading rules are applied to study cross-market linkages between the Taiwan Index futures contracts listed on the Singapore Exchange and the Taiwan Stock Exchange Capitalization-weighted Stock Index futures contracts listed on the Taiwan Futures Exchange. The...

In the past decade, financial institutions have assumed an ever greater role in energy derivatives (or “paper”) markets. Numerous recent studies provide novel evidence of this “financialization” and analyze the extent to which it helps explain an important aspect of the distribution of...

This paper analyses the co-movements between the US stock market and several commodity futures between 1998 and 2011. It computes dynamic conditional correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second, and (iv) 1-second frequencies and documents a synchronized structural break,...

The factor of the earlier/later closing market, which appears in pairs of time series with non-synchronism problem exposure, may predetermine the results of the Granger causality test conducted on classic form. The shift in GMT timeline reverses the exposure of the market to the factor of...

The comparison was performed between Granger causality test results, based on the equations in classic and non-synchronism corrected forms applying the pairs of stock market indices with daily data non-synchronism problem. In contrast to the non-synchronism corrected form of the equation, the...

This article assesses the cross-market linkages between commodities, stocks and bonds in a cointegration framework during 1993–2011