In this paper, we examine empirically the day-of-the-week effect on the Tunisian stock exchange index (TUNINDEX) return and volatility. We use three multivariate general autoregressive conditional heteroscedasticity models (GARCH (1,1), EGARCH (1,1), and TGARCH (1,1)) to examine the presence of...

As the nexus between Islamic financial market indexes and energy commodities becomes more global, the question of whether any specific shock considerations are still relevant that might affect this relationship arises. In order to answer it, our paper examines this question by testing the...

This paper examines the interaction between terrorism events and finance, focusing for the first time on the Damascus Securities Exchange Weighted Index return volatility of Syria besieged by terrorist attacks. To do so, we employ three multivariate GARCH models (GARCH (1,1), EGARCH (1,1) and...

In this study, we use for the first time the conditional heteroscedasticity specifications (GARCH, AGARCH, APARCH, Asymmetry MEM, MEM, EGARCH, GJR GARCH, and GAS-GARCH Student t models) to examine the volatility of exchange rate returns between the US Dollar and the Euro. So, the conditional...

Purpose: The purpose of this paper is to understand and compare the extent and nature of the impact of foreign portfolio investment (FPI) on the stock market volatility, particularly in the Southeast Asian emerging markets, and compare that against the corresponding experience of Indian economy,...