This study aims to survey the effects of economic globalization on the firm's stock that is measured by the index of the stock market by using panel data in selected countries in Asia (Iran, Saudi Arabia, India, China, Singapore, Malaysia, Indonesia, South Korea, Russia, Pakistan, Philippines,...

We propose an approach to estimate and explain the risk premium in carbon and energy futures markets. First, we develop a parsimonious and robust state space model that allows for a time-varying risk premium and apply it to CO2, oil, and gas futures prices. We find that the risk premia are...

Liberalization of energy sector and the ensuing creation of new markets for carbon emissions have increasingly triggered a need for understanding the volatility and correlation structure between carbon, energy and financial markets. This paper documents the existence of structural changes in...

While there is a large body of literature on oil uncertainty-equity prices and/or returns nexus, an associated important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use the Multi-Scale Log-Periodic Power Law Singularity...

This paper examines if overreaction of oil price forecasters is related to uncertainty. Furthermore, it takes into account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression model from González et al. (2005) is applied with...

This paper presents an empirical approach that combines competing paradigms of mod-eling in empirical capital market research. The approach simultaneously estimates the explanatory power of fundamentals, expectations, and historic yield patterns, making it possible to test the extent to which...

This paper provides an approach to estimation and inference for non-linear conditional mean panel data models, in the presence of cross-sectional dependence. We modify the common correlated effects (CCE) correction of Pesaran (2006) to filter out the interactive unobserved multifactor structure....

This paper explores the relationship between equity prices and the current account for 17 industrialized countries in the period 1980 - 2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those originating from monetary policy and exchange rates. While...

This paper explores the relation between stock prices and the current account for 17 OECD countries in 1980-2007. I use a panel vector autoregression (VAR) to compare the effects of stock price shocks to those originating from monetary policy and exchange rates. While monetary policy shocks have...