Purpose – There is growing demand for research approaches that consider the functioning of financial markets in the emerging economy. The current paper aims to examine cointegration and volatility persistence of six Middle East emerging Arabian Gulf Cooperation council (AGCC) equity markets...

Purpose – In 2001, Euronext‐Liffe introduced single security futures contracts for the first time. The purpose of this paper is to examine the impact that these single security futures had on the volatility of the underlying stocks. Design/methodology/approach – The Inclan and Tiao...

Purpose – The purpose of this paper is to investigate the time‐varying risk return relationship and the persistence of shocks to volatility within GARCH framework both in developed and emerging markets. Design/methodology/approach – This paper uses nonlinear ARCH and GARCH‐family models...

Purpose – In order to assess the informational efficiency of African equity markets (AEMs), the purpose of this paper is to examine long memory in both equity returns and volatility using auto‐regressive fractionally integrated moving average (ARFIMA)‐FIGARCH/hyperbolic GARCH (HYGARCH)...

Purpose – This paper attempts to identify the areas for further research related to regulating credit‐rating agencies (CRAs), in order to assess whether the prerequisite for a “complete change” is present so to achieve a genuine paradigm shift on the matter. Design/methodology/approach...

Purpose – The current paper contributes to the vigorous debate about policies and regulations that would shield financial markets' participants from future events of the financial turmoil. In doing so, the paper aims to broaden the picture of the financial crisis contagion and set it against...

Purpose The purpose of this paper is to discuss the most relevant issues related to the impact of financial restatements in the dynamics of financial markets and identify several research gaps to be investigated in future research. Design/methodology/approach The methodology is based on a...

This study analyzes the effect of the North American Free Trade Agreement (NAFTA) process on two major segments of the world economy. Specifically, daily stock index returns in the North American markets and the selected Association of South East Asian Nations (ASEAN) markets during the entire...

This study describes the structure and function of a new financial modeling technique, namely, the Artificial Neutral Network (ANN) in predicting financial markets’ behavior. With the advancement of the computer technology to date, ANN allows us to imitate human reasoning and thought processes...