This paper examines the degree to which four emerging stock markets in the Arab Gulf countries (Bahrain, Kuwait, Oman and Saudi Arabia) are regionally linked and the implications of this on portfolio diversification and hedging strategies. We find that conditional heteroscedasticity is present...

This paper examines the impact of natural events and disasters in Australia on Australian stock market returns. The data set employed consists of daily price and accumulation (including dividends and changes in capitalisation) returns from 1 January 1980 to 30 June 2003 and the complete timing...

Australia has one of the more volatile set of export prices among OECD countries. This paper examines the extent to which Australia's export prices relate to the world prices, using quarterly time-series data spanning, the period 1969q4--2002q3. The empirical results based on dynamic least...

A class of semiparametric fractional autoregressive GARCH models (SEMIFAR-GARCH), which includes deterministic trends, difference stationarity and stationarity with short- and long-range dependence, and heteroskedastic model errors, is very powerful for modelling financial time series. This...

Return and volatility spillover among Indian stock market with that of 12 other developed and emerging Asian countries over a period from November 1997 to April 2008 is studied. Daily opening and closing prices of all major equity indices from the sample countries are examined by applying the...

This paper investigates effects of official dollarization on the macroeconomic performance of Ecuador using a time series perspective. More specifically, we investigate how dollarization effects inflation, GDP, inflation uncertainty and money-price relationship in Ecuador. There are four main...

This study examines the impact of financial liberalization on the returns and volatility of eleven emerging stock markets. Time points of structural changes in the data are detected first based on the iterated cumulative sums of squares (ICSS) algorithm developed by Incl?n and Tiao (1994). Using...

Purpose – The purpose of this paper is to examine whether realized volatility can provide additional information on the volatility process to the GARCH and EGARCH model, based on the data of Chinese stock market. Design/methodology/approach – The realized volatility is defined as the squared...