In this paper I study the asset pricing implication of cross-country differences in income inequality. Using panel regression with year fixed effects, I document a strong negative relationship between cross-country stock market levels (as measured by each market's P/D ratio) and cross-country...

Holding strategic oil stocks is at first sight an obvious tool to address potential disturbances in supplies. Rationally defining the desirable size of stocks and designing rules for their predictable use is an elusive task, however. A key conceptual difficulty arises in the distinction between...

The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil company stocks using alternative multivariate GARCH models, namely the CCC model of Bollerslev (1990), VARMA-GARCH model of Ling and McAleer (2003), and VARMA-AGARCH model of...