Using dynamic conditional correlations and networks, we bring a novel framework to define the integration and segmentation of emerging countries. The individual EMBI+ spreads of 13 emerging countries from 01/2003 to 12/2013 are used to compare their interaction structure before (phase 1) and...

We focus on the developments in the EMU sovereign debt markets in the last decade. First, we show the integration structure of the EMU bond markets before and after the sovereign debt crisis. Accordingly, a fair integration is observed between EMU bond markets during the pre-crisis period....

We analyze the dynamic comovement of commodity futures returns within each category (energy, precious metals, industrial metals, and agriculture) from 1997 to 2013 under the eects of the nancialization of commodity markets. Our findings from the dynamic equicorrelation GARCH model of ? show...

We aim to and out whether the exchange rate (against US dollar) or the interest rate (in local currency) is a better variable in predicting the capacity utilization rate of manufacturing industry (CUR) of Turkey after the 2008 global financial crisis. In that manner, we implement dynamic mixed...

This study analyzes the dynamic relationship between exchange rate (against US dollar), interest rate and the stock market (both in local currency) of Turkey from January 2003 to September 2013. In particular, the paper tries to answer if the correlations between these important variables change...

This article proposes a new procedure to evaluate Asia Pacic stock market in-terconnections using a dynamic setting. Dynamic Spanning Trees (DST) are constructed using an ARMA-FIEGARCH-cDCC process. The main results show that: 1. The DST significantly shrinks over time; 2. Hong Kong is found to...

We aim to determine if sovereign rating assessments (from S&P, Moody's and Fitch) for the advanced emerging Latin American countries (Brazil, Mexico and Chile) have any signicant eect on the correlation between their stock market returns in the last decade. With that purpose in mind, we obtain...

With unique daily short sale data of Borsa Istanbul (stock exchange of Turkey), we investigate the dynamic relationship between short selling activity, volatil- ity, liquidity and market returns from January 2005 to December 2012 using a VAR(p)-cDCC-FIEGARCH(1,d,1) approach. Our findings suggest...

The aim of this study is to understand the role of herd behaviour on stock market crashes. A model of interacting agents in a market, buying and selling a single financial asset is studied. Agents give their decisions to buy or sell according to a combination of neighbourhood influence, public...

This paper proposes a new efficiency index to model time-varying inefficiency in stock markets. We focus on European stock markets and show that they have different degrees of time-varying effciency. We observe that the 2008 global financial crisis has an adverse effect on almost all EU stock...