We use a regime-switching model approach to investigate the dynamic linkages between the exchange rates and stock market returns for the BRICS countries (Brazil, Russia, India, China and South Africa). The univariate analysis indicates that stock returns of the BRICS countries evolve according...

This paper analyzes short-run relationships between German, Austrian and Polish stock market indices using the Markov Switching VAR (MSVAR) model. The impulse response function is used as the main tool and reveals two market phases. The results are useful for investors; reactions to disturbances...

We use a regime-switching model approach to investigate the dynamic linkages between the exchange rates and stock market returns for the BRICS countries (Brazil, Russia, India, China and South Africa). The univariate analysis indicates that stock returns

The non-negativity constraint on nominal interest rates may have been a major factor behind a putative structural break in the effectiveness of monetary policy. To check for the existence of such a break without making prior assumptions about timing, and to enable comparison between pre- and...

This paper investigates the empirical saving-investment relationships for Côte d’Ivoire and Ghana over the period 1960–1998, using a Markov Switching VAR model. We find regime-dependent causality from saving to investment in Côte d’Ivoire but not in Ghana. In terms of Feldstein and...

The topic devoted to cross-border M&A performance has received wide attention in academic literature. Most existing studies examine wealth effects of international M&As in developed countries. We contribute to existing research by examining the market reaction to the announcements of M&As...

В данной статье представлены результаты анализа формирования оптимального диапазона структуры капитала фирмы, возникающего при существовании значительных...

Chaos theory has generated a conceptual revolution regarding the analysis of capital markets. In general, capital market is an exciting and suitable field to apply chaos theory. Through its fundamental characteristics, an emerging capital market such as Bucharest Stock Exchange is even more...