The Swiss National Bank abolished the exchange rate floor versus the Euro in January 2015. Using a synthetic matching framework, we analyze the impact of this unexpected (and therefore exogenous) policy change on the stock market. The results reveal a significant level shift (decline) in asset...

This paper examines for the first time contagion to African stock markets with particular attention to the quantification of, and testing for the impact of (extreme) downside movements in foreign exchange and developed stock markets on the (extreme) downside risks in Africa stock markets. Using...

Research Question: This study will explore how private sector financial management technologies (specifically, risk management system, fraud and corruption control system and internal audit) become embedded in a selected public sector organisation. Motivation: The motivation for this study is to...

It has been established in the literature that volatility of stock returns exhibits complex properties of not only volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence, this paper seeks to analyze volatility spillover,...

This paper studies the influence of short sales bans on the Spanish stock market, and its objective is to know if this corrective measure has had positive effects on the market. To determine this influence, we have studied the profitability, risk and liquidity of Ibex 35 in the period between...

In this paper, we analyze the capacity of supremum augmented Dickey–Fuller (SADF), generalized SADF (GSADF), and of several heteroscedasticity-adjusted sup-ADF-style tests for detecting and date-stamping financial bubbles. Our Monte Carlo simulations find that the majority of the sup-ADF-style...

In this paper, we incorporate a stock market and a banking sector in a behavioural macro‐finance model with heterogenous and boundedly rational expectations. Households' savings are diversified among bank deposits and stock purchases, and banks' lending to firms is subject to capital‐related...

Purpose - This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for investors and portfolio managers....

Purpose - The purpose of this paper is to examine the effect of economic policy uncertainty (EPU) of China on investment opportunities in five ASEAN economies. Design/methodology/approach - This paper employs advanced empirical approaches, such as Multivariate DCC-GARCH and Continuous Wavelet...

A popular interpretation of the Rational Expectations/Efficient Markets hypothesis states that, if it holds, market valuations must follow a random walk; hence, the hypothesis is frequently criticized on the basis of empirical evidence against such a prediction. Yet this reasoning incurs what we...