This paper investigates sudden changes in volatility in the stock markets of new European Union (EU) members by utilizing the iterated cumulative sums of squares (ICSS) algorithm. Using weekly data over the sample period 1994-2006, the time period of sudden change in variance of returns and the...

This article reappraises the financial repression hypothesis for India in light of the partial liberalization of the financial sector in the early 1990s, using for the first time state-of-the-art multivariate cointegration and vector error correction models (VECM). From this more robust testing...

This paper examines the contributions of real (permanent) and nominal (temporary) shocks on the nominal and real exchange rates of the Indian Rupee against the US dollar in the period since 1993, using the long-run structural VAR technique. If nominal shocks account for most of the movement in...

We empirically investigate the effects of market structure on profitability and stability for 1929 banks in 40 emerging and advanced economies over 1999–2008 by incorporating the traditional structure-conduct-performance (SCP) and relative-market-power (RMP) hypotheses. We observe that a...

This article empirically investigates the volatility spillover of stock returns from the market to disaggregated industry sectors. Seventeen sectors from the US and UK stock markets are estimated by the GARCH technique based on daily data from 1973 to 2008. The key findings are two-fold. In the...

This paper investigates the integration of the credit default swap (CDS) markets of 38 developed and emerging countries with the US market during the subprime crisis period by utilising dynamic conditional correlation from the multivariate GARCH model. Evidence reveals that the Lehman shock...

Within the mechanism of endogenous growth, this paper empirically investigates the impact of financial capital on economic growth for a panel of 60 developing countries, through the channel of domestic capital formation. By estimating the model for different income groups, it is found that while...

We investigate the determinants of exchange market pressures (EMP) for some new EU member states at both the national and regional levels, where macroeconomic and financial variables are considered as potential sources. The regional common factors are extracted from these variables by using...

This article investigates whether the recent financial crisis has had any adverse impact on bank competition for 24 emerging and 25 advanced countries with large and small-size banks over the sample period 2001-2010. The H-statistic advocated by Panzar and Rosse (1987) is employed as the measure...