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Government intervention in Russian bourse: a case of financial contagion
Khan, Salman; Batteau, Pierre - In: Journal of Financial Economic Policy 4 (2012) 4, pp. 320-339
used to establish the time varying linkages in order to verify the contagion effect. In the final step the Markowitz mean …
Persistent link: https://www.econbiz.de/10014866871
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The 2011 Japanese earthquake, tsunami and nuclear crisis
Asongu, Simplice A. - In: Journal of Financial Economic Policy 4 (2012) 4, pp. 340-353
study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and … heteroscedasticity biases based on correlation coefficients to examine if any contagion occurred across financial markets after the March … foreign exchange markets suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia and South Africa witnessed a …
Persistent link: https://www.econbiz.de/10014866872
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Spillover effect in Asian financial markets: A VAR-structural GARCH analysis
Wang, Yu; Liu, Lei - In: China Finance Review International 6 (2016) 2, pp. 150-176
China having little connection with other markets. Further, evidence of financial contagion is found during both the 1997 …
Persistent link: https://www.econbiz.de/10014694726
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Dynamic interdependence between US and Asian markets: an empirical study
Dhanaraj, Sowmya; Gopalaswamy, Arun Kumar; Babu M, Suresh - In: Journal of Financial Economic Policy 5 (2013) 2, pp. 220-237
Purpose – The purpose of this paper is to examine the short‐term stock market interactions between US and six major Asian markets – China, India, Hong Kong, Singapore, South Korea and Taiwan. These six economies along with Japan and Australia have the largest stock exchanges in the...
Persistent link: https://www.econbiz.de/10014866881
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Financial market risk and gold investment in an emerging market: the case of Malaysia
Ibrahim, Mansor H. - In: International Journal of Islamic and Middle Eastern … 5 (2012) 1, pp. 25-34
Purpose – The purpose of this paper is to examine the relation between gold return and stock market return and whether its relation changes in times of consecutive negative market returns for an emerging market, Malaysia. Design/methodology/approach – The paper applies the autoregressive...
Persistent link: https://www.econbiz.de/10014826546
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Stock exchanges in low and middle income countries
Maxfield, Sylvia - In: International Journal of Emerging Markets 4 (2009) 1, pp. 43-55
Purpose – The purpose of this paper is to describe and critique the swing in international policy from encouraging lower income countries to erect local stock exchanges in the 1990s to discouraging them on efficiency grounds after the US securities markets collapsed in 2001....
Persistent link: https://www.econbiz.de/10014788160
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The Saturday effect in emerging stock markets: a stochastic dominance approach
Al‐Khazali, Osamah; Zoubi, Taisier A.; Koumanakos, … - In: International Journal of Emerging Markets 5 (2010) 2, pp. 227-246
Purpose – The purpose of this paper is to empirically investigate the Saturday effect in three emerging stock markets (Bahrain, Kuwait, and Saudi Arabia) by taking into consideration the thin trading that is normal in such capital markets. Design/methodology/approach – The paper applies the...
Persistent link: https://www.econbiz.de/10014788189
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The stability of long‐run relationships
Batareddy, Murali; Gopalaswamy, Arun Kumar; Huang, … - In: International Journal of Emerging Markets 7 (2012) 1, pp. 31-48
Purpose – The purpose of this paper is to investigate the stability of the long‐run relationships between emerging (India, China, South Korea, and Taiwan) and developed stock markets (USA and Japan). The study aims at adding to the literature on market integration by investigating the...
Persistent link: https://www.econbiz.de/10014788221
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Stock market liberalization, structural breaks and dynamic changes in emerging market volatility
Khuong Nguyen, Duc; Bellalah, Mondher - In: Review of Accounting and Finance 7 (2008) 4, pp. 396-411
Purpose – This paper aims to empirically reexamine the dynamic changes in emerging market volatility around stock market liberalization. Design/methodology/approach – First, a bivariate GARCH‐M model which counts for partial market integration is developed for modeling stock market...
Persistent link: https://www.econbiz.de/10014989570
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Tests of weak form efficiency in the Middle East emerging markets
Omran, Mohammed; Farrar, Suzanne V. - In: Studies in Economics and Finance 23 (2006) 1, pp. 13-26
Purpose – The purpose of this paper is to investigate the efficiency of the emerging stock markets in the Middle Eastern countries. Design/methodology/approach – The paper investigates the validity of the random walk hypothesis (RWH) and tests for calendar effects in five major Middle...
Persistent link: https://www.econbiz.de/10015013541