This paper examines the relationship between beta risk and realized stockindex return in the presence of oil and exchange rate sensitivities for fifteen countriesin the Asia-Pacific region using the international factor model. Thirteen of the 15countries have the expected beta signs and show...

Purpose: Motivated by the news media and a lack of comprehensive research on the USA, the purpose of this paper is to examine the relationship between changes in road fatalities and gasoline prices, per capita disposable personal income, alcohol consumption per adult, blood alcohol...

This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔcoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and...

Investors are interested in knowing whether sukuk bonds and shariah stock indices in the Gulf Corporation Council (GCC) region are related. This study examines the connectedness between the sukuk- and shariah-compliant stock indices in the GCC financial markets. Bivariate and multivariate...

We investigated the Granger causal relationship between the consumption of power both at the aggregate and sectoral level and economic growth in India using the frequency domain approach, which would help policy makers seek the efficient allocation of electricity via proper policy initiatives at...

Given the secrecy that wraps the flows of the GCC countries petrodollar surpluses to the United States and the pressures on these countries to spend and recycle more, this study attempts to uncover the direct and reverse causal relationships between the GCC financial accounts and the US current...

This study examines the conditional volatility and correlation dependency and interdependency for the four major precious metals (that is, gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system. The implications of the estimated results for portfolio...