Purpose: This paper investigates the effect of political connections on the capital structure of banks before and after the financial crisis in Gulf Cooperation Council (GCC) countries. Design/methodology/approach: This paper...

Purpose: This study aims to examine the relation between illiquidity, feedback trading and stock returns for several European markets, using panel regression methods, during the financial and the sovereign debt crises. The authors’ interest here lies twofold. First, the authors seek to...

Purpose: This paper aims to examine the behaviour, both contemporaneous and causal, of stock and bond markets across four major international countries. Design/methodology/approach: The authors generate volatility and correlations using the realised volatility approach and implement a general...

Purpose: The purpose of this paper is to consider the economic information content within several popular stock market factors and to the extent to which their movements are both explained by economic variables and can explain future output growth. Design/methodology/approach: Using US stock...

Purpose: The purpose of this paper is to analyse the relation between stock market volatility and macroeconomic fundamentals for G-7 countries using monthly data over the period from July 1985 to June 2015. Design/methodology/approach: The empirical methodology is based on two steps: in the...

Purpose – In this paper weekly volatility forecasts are considered with applications to risk management; in particular hedge ratios and VaR calculations, with the aim of identifying the most appropriate model for risk management practice. Design/methodology/approach – The study considers a...

Recent empirical finance research has suggested the potential for interest rate series to exhibit non-linear adjustment to equilibrium. This paper examines a variety of models designed to capture these effects and compares both their in-sample and out-of-sample performance with a linear...