This paper investigates relationships between market risk premium, time-varying variance and time-varying covariance in eleven Middle Eastern and North African (MENA) markets and eight developed markets from 1990 to 2001. Following Pettengill, Sundaram and Mathur (1995), we argue that the...

This paper examines the relationships between market risk premiums, time-varying variance and covariance in forty-eight emerging, and seven developed capital markets. We allow each market’s risk premium generating process to be state-dependent by accounting for negative and positive market...

We analyze a stochastic general equilibrium model which incorporates three different types of government expenditure. We calibrate the model and estimate, using US data, the multivariate stochastic process generating the components of public expenditure and the Solow residual. These estimates...

Purpose – The purpose of this paper is to examine the change in speed of dissemination of order flow information on stock volatility of return in 79 traded companies at the Cairo and Alexandria Stock Exchange (CASE). Design/methodology/approach – The paper examines the interaction of...

This paper examines the performance of seven indexes chosen from the Dow Jones Islamic Market Index (DJIM) vis-à-vis their non-Islamic counterparts using a variety of measures such as Sharpe, Treynor, Jenson and Fama’s selectivity, net selectivity and diversification. Second, we examine the...