A time series analysis of the Shanghai and New York Stock Exchange composite price indices is provided to compare the weekly rates of return and volatilities of these two markets and to study their co-movement in 1992-2002. The rate of return and volatility of the Shanghai market were higher....

The global financial crisis has potentially many adverse effects on the developing world: falls in exports of goods and services to the OECD, dramatic falls in commodity prices and resource exports, and falls in remittances. Many of the poorer countries are heavily specialized and dependent on...

The paper investigates returns and returns volatility spillovers from the U.S. and the Saudi market to equity markets in the Gulf Cooperation Council countries. A clear jump in net transmissions from both markets was spotted during the financial crisis in 2008. This new pattern of information...

This study contributes in bridging the dichotomy between economic growth and business cycle paradigms by providing dynamic characterisation of the link between economic growth, risk aversion, uncertainty and variability in industrial production, consumption and investment. In a system of...

Employing an augmented univariate EGARCH model, we estimate the dynamic impact of information arrival as measured by volume on asymmetric news in the pre and post 2009 global financial crisis in the Athens Stock Exchange (ASE). Our results reveal that trading volume appears to capture a...

The study of volatility transmission across markets commonly termed “volatility spillover” provides useful insights into how information disseminates across markets. Research results in this area have useful implications for issues such as international or regional diversification and market...

This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the information about both the periodogram of the squared returns and the estimated parameters in the TARCH equation, we compute a distance matrix for the stock returns. Clusters are...

Although developing economies are more volatile, firms in developed countries hold more cash and less debt. We show that despite greater aggregate and industry stability, the performance and balance sheets of individual firms in developed countries are more volatile. In developing countries,...

Based upon the theory of the "arrival of news", the main purpose of this paper is to investigate the impact of non-trading periods on the measurement of volatility for the S&P 500, FTSE 100, and TAIEX indices. Using an adaptation of the GJR (1,1) model, we find that both weekday holiday periods...

Inspired by the increasing evidence of financialization/speculation in commodity pricing, this paper constitutes a first attempt to build an information diffusion-based asset pricing framework for the oil futures market. With gradual information dissemination, slowly decaying uncertainty about...