This paper investigates the return links and volatility transmission between oil and stock markets in the Gulf Cooperation Council (GCC) countries over the period 2005-2010. We employ a recent generalized VAR-GARCH approach which allows for transmissions in return and volatility. In addition, we...

We analyse the time variations in the comovements of Latin American stock markets. Conditional correlations are estimated from the dynamic conditional correlation GARCH model. Then, Bai and Perron's (2003) structural break technique is employed to test for changing nature of market comovements....

This paper re-examines the effects that adoption of the International Financial Reporting Standards (IFRS) has had on financial reporting of French listed firms. By analysing the 2004 financial statements of CAC 40 companies, we show that the transition to the IAS/IFRS has a significant impact...

We investigate the synchronization and nonlinear adjustment dynamics of short-term interest rates for France, the UK and the US using the bi-directional feedback measures proposed by Geweke (1982) and appropriate smooth transition error-correction models (STECM). We find evidence to support the...

In this article, we investigate the hypothesis of efficiency of central bank intervention policies within the current global financial crisis. We firstly discuss the major existing interventions of central banks around the world to improve liquidity, restore investor confidence and avoid a...

The aim of this article is to study linkages between equity and information technology sector prices. We thus investigate the price adjustment dynamics of the Information Technology (IT) sector in response to the 2007--2009 worldwide market shock for two representative developed countries...