Weekends and holidays lead to gaps in daily financial data. Standard models ignore these irregularities. Because this issue is particularly important for persistent time series, we focus on volatility modelling, specifically modelling of realized volatility. We suggest a simple way of adjusting...

Stock price determination is one of the main issues involved in the acquisition of companies. The transparency and high volume of the stock market make it possible to ascertain valuation multiples. In the case of privately-held agrifood companies, valuation multiples are scarce and barely...

We compare changes of mean and variance of returns as two regulations have changed between 1992 and 2007 in the Chinese exchanges of Shanghai and Shenzhen. Specifically, we compare the implementation of a ±10% daily return limit vs. the absence of any limit, and the effect of allowing local and...

The uncertainty of a country's economy, especially emerging economies, is partially due to the fluctuating of oil prices. There is also a growing concern about the relationship between oil price and stock markets in developing countries due to their heavy dependence on oil prices co-movements....

This paper explores the lead–lag relationships and the dynamic linkages among stock, insurance and bond markets in the developed countries. This is the first empirical study which sheds light on the extent and magnitude of the association among these financial markets used by the Granger...

This paper examines the ASEAN-5 countries and explores the impact of structural breaks on the level of financial integration in that region. An extended cointegration procedure allowing for three types of structural break, is employed and compared with the standard Johansen procedure, for daily...

This paper has two aims. First, we study the impact of oil price variables (change and volatility) on stock market returns under regime shifts in the case of Gulf Cooperation Council (GCC) countries. We employ a Markov regime-switching model to generate regime probabilities for oil market...

The article investigates causality between fossil fuel prices, exchange rates and the German Stock Index (DAX). The analysis is conducted dynamically with the use of rolling VAR methodology on the basis of weekly data from the period October 2001–June 2012. The results obtained show that the...

Although a lot of empirical research has studied the relationship between changes in oil prices and economic activity, it is surprising that little research has been conducted on the relationship between oil price shocks and the large Newly Industrialized Economies (NIEs). Therefore, this paper...

Focusing on five major emerging markets, I investigate the interactions between credit default swap premiums, foreign exchange rates, local currency government bond spreads, and national stock market returns over the period 4/2/2007 to 8/27/2009. Empirical analysis indicates that bond markets,...