We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

This paper demonstrates that, after integration, equity portfolios of countries that joined the European Monetary Union have converged at faster rate than those of NON EMU countries. This outcome can be interpreted as a combination of the convergence of inflation rates and the convergence of...

This paper examines the investment behavior in debt securities across financial institutions with a particular focus on how they respond to price changes. For identification, we use security-level data from the German Microdatabase Securities Holdings Statistics. Our results suggest that banks...

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

We investigate the effect of trading activity in the Asian emerging markets on the market integration across Asian emerging and major developed markets over the sample period of 1997 to 2009. The empirical evidence confirms that higher trading activity in Asian emerging markets can induce these...

Should capital cost calculation be based on a global or local market benchmark? The December 2000 redefinition of the global MSCI equity index was a natural experiment addressing this question. It is argued that this event triggered a portfolio shift (by index funds) large enough to affect the...

In an augmented [Treynor and Mazuy, 1966] model, we find that realized volatility of emerging market financial indices generally have a negative impact on the performance of hedge funds operating in these markets. Our hypothesis is that daily trading activities related to overconfidence and...

This paper demonstrates that, after integration, equity portfolios of countries that joined the European Monetary Union have converged at faster rate than those of NON EMU countries. This outcome can be interpreted as a combination of the convergence of inflation rates and the convergence of...

Written for undergraduate and graduate students of finance, economics and business, the fourth edition of Financial Markets and Institutions provides a fresh analysis of the European financial system. Combining theory, data and policy, this successful textbook examines and explains financial...

This paper provides further evidence on financial integration among MENA and developed the US stock markets between 2000 and 2015. This paper employs Zivot and Andrews (1992) and Bai and Perron (2003) methods to test for single and multiple structural breaks in MENA markets, respectively, along...