In this paper we test for the existence of equity market contagion originating from the United States to OECD markets over the period from 01/01/1990 to 01/11/2010 characterized by several episodes of financial crises. Our empirical analysis relies on the use of an ICAPM model which has three...

This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive

This study examines the effects of the monetary policy of the United States on commodity prices. Using a Bayesian Structural VAR, we identify the interest rate shocks as a measure of the stance of the U.S. mon- etary policy and evaluate their impacts on different types of commodity prices. The...

We employ the time-varying copula approach to investigate the conditional dependence between the Brent crude oil price and stock markets in the Central and Eastern European (CEE) transition economies. Our results show evidence of a positive dependence between the oil and the stock markets of the...

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...

This article investigates the return behavior of privatization initial public offerings (PIPOs) in Europe over both the short- and long-run horizons. Using data from a sample of 162 PIPOs over the period 1986-2008, we show that European PIPOs outperform, in terms of risk-adjusted abnormal...

We investigate the impacts of state shareholding, corporate culture and employee commitment on corporate perfor- mance of privatized firms in the Vietnamese context. Using data collected from a structured questionnaire as well as companies’ annual reports, we show that only organizational...

We provide comprehensive evidence of return and volatility spillovers for the four major agricultural commodi- ties including sugar, wheat, corn and cotton over the recent period 2003-2010. Our results from the recent VAR- GARCH model of Ling and McAleer (2003) that allows for simultaneous shock...

In this article, we conduct a longitudinal study of women’s progress on French corporate boards of directors. We particularly focus on the extent to which women directors have circumvented the glass ceiling. Using a sample of SBF 120 companies over a 10-year period from 2000 to 2009, our...

This article revisits the C02 emissions-GDF causal relationships in the Middle East