We asses the general robustness of previous findings claiming that policy uncertainty exerts non-trivial influences on the US economy. Measuring the dynamic effects from a shock to policy uncertainty within a FAVAR model permits gauging the response of many more variables to policy uncertainty...

The Brownian correlation has been recently introduced by Székely et al. (2007; 2009), which has an attractive property that when it is zero, it guarantees independence. This paper investigates into the effects and advantages, if any, of replacement of the Pearsonian coefficient of correlation (r)...

Efficient use of resources depends on better allocation through financial systems. Development of financial systems can be measured through the performance of banks, financial markets and insurance companies. This paper identifies several key attributes to measure the level of financial...

This paper develops a new investor sentiment index for the Chinese stock market. The index is constructed via the principal component approach (PCA), taking six important economic and market factors into consideration. The sentiment index serves as a threshold variable in a threshold...

The problem of instrument proliferation and its consequences (overfitting of endogenous variables, bias of estimates, weakening of Sargan/Hansen test) are well known. The literature provides little guidance on how many instruments is too many. It is common practice to report the instrument count...

The present paper intends to bring out the position of the North Eastern States vis-à-vis the other states of India in matters of prosperity on the basis of the most recent available as well as comparable data compiled from secondary sources. Development or prosperity encapsulates and...

Although the existing literature of Arbitrage Pricing Theory (APT) on different categories of stock markets is vast, it is non-existent in the case of frontier stock markets (defined as very small capital markets). This paper fills this gap by investigating how APT performs in a frontier stock...

This study analyses participation in joint forest management (JFM). The study is based on in-depth interviews with 150 households of Forest Protection Committees (FPC) in Paschim Medinipur district in the West Bengal state of India. Based on a Principal Component Analysis (PCA) of 14...

We propose a stock selection method that is based on a variable selection method used with principal component analysis. We applied our method to stocks in the ASX200 and show that a portfolio of as little as 15 stocks can closely replicate the behaviour of the index. We show that the number of...

This paper aims at assessing corporate governance by the instrumentality of ratings for a sample of 68 companies listed on the Bucharest Stock Exchange (BSE) over the year 2011. Therewith, current research has the goal of investigating the empirical relationship between the corporate governance...