This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks reverberate around the world much more strongly...

We study the role of uncertainty shocks in explaining unemployment dynamics, separating out the role of aggregate and sectoral channels. Using S&P500 data from the first quarter of 1957 to third quarter of 2014, we construct separate indices to measure aggregate and sectoral uncertainty and...

This paper examines the response of Stock Prices (SPs) in Germany, Italy, and the UK to shocks to US Stock Prices (USSPs) using Vector Error Correction Models (VECMs) and cross-country stock return correlations. Our results yield clear implications. Positive shocks to USSPs lead to significant,...

The study assesses the impact of the 2007 US sub-prime crisis on the Malaysian stock market by analysing both the benchmark and sectoral indices. Specifically, it empirically examines the integration of the Malaysian, US and Japanese stock markets at the sectoral level, such as finance,...

In this paper, we investigate the question whether the changing beliefs in different countries may be driven by common investors' sentiment. We examine this issue by investigating the relationship between the degree of switching in two major stock markets, the USA and the UK, for a long period...

This study uses factor analysis to simplify the complex relationships among stock markets and to reduce the number of markets required for portfolio construction. Our sample consists of the US and 11 Asia-Pacific stock markets. We find that the reduced portfolio obtained from factor analysis has...

We measure internet bubbles to verify the existence and evaporation of the internet bubble in early 2000. Then, we compare investor responses to internet stocks with those to traditional stocks to find how the internet bubble formed. Empirical results confirm that the internet bubble existed...

In this paper, we try to analyse the long-run relationship between the stock prices of emerging markets in the Europe, Middle East and Africa (EMEA) region and the US market. Our aim is to find out whether these markets provide opportunities for international diversification to US investors. We...

Using daily data from CRSP and COMPUSTAT, this paper first confirms the cointegrated relation between the returns of equities in the US healthcare industry and the returns of market portfolio. Then we break down the risk premia of stocks of the healthcare sector into ten subgroups and reveal an...