This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasing power parity (PPP) as well as temporal...

The under-representation of female directors in the boardroom where corporate strategic decisions are made has recently become not only an ethical business case but also a public pressure to improve this gender imbalance. While there is some practical evidence to suggest that gender-diverse...

We investigate the diversification benefits and optimal portfolio allocation across different US asset classes. Our results from applying the principal component analysis (PCA) show that although there is an increasing trend in market integration, five major financial markets (equities, bonds,...

The introduction of Euro currency was a game-changing event intended to induce convergence of

Market efficiency is among the foremost criteria for making investment decisions when foreign investors attempt to allocate their funds to emerging market assets. If the markets under consideration are efficient, quoted prices of the assets will serve as useful and reliable signals for capital...

This paper shows the usefulness and relevance of the multivariate fractional cointegration in exploring the dynamic

We consider the problem of accurate market risk modeling for agricultural commodity products over heterogeneous investment horizons using copulas and wavelet methods. Our results indicate that the degree and structure of the dependence of daily commodity returns on the three market risk factors...

We analyze the performance characteristics of sustainable investments over the period 2004-2013. Our un- conditional analysis shows that the sustainable portfolios, represented by the Dow Jones Sustainability Indi- ces (DJSI) for the global and three regional markets, experience lower Sharpe...

This study investigates the energy-growth-trade nexus in Pakistan by using the annual time series data for the period of 1973-2011. Our main results show: i) the presence of long-run link between energy consumption and trade performance; ii) positive impact of gross domestic product, exports, and...

We propose an enhanced regime-switching model to investigate the relationships between oil price surges and stock market cycles in five oil-dependent countries over the period from January 1989 to December 2007. Our model accounts for the joint effects of the WTI (West Texas Intermediate) and...