This study analyzes dynamic interactions among macroeconomic variables and the stock markets of Taiwan, Hong Kong, and China by incorporating the long-term and short-term comovements, which can shed some light on the long-term and short-term market efficiency/inefficiency in the region. The...

This paper investigates the role of macroeconomic factors and firm characteristics in explaining stock return in Singapore. The factors model is employed for two time intervals, namely, sub-period A (from July 2003 to June 2007) and sub-period B (from July 2007 to June 2011) to examine the...

Our paper aims to investigate the factors that have an influence upon the profitabilityof Romanian commercial banks, between 2003 and 2011. The results of our study show thatRomanian banks‘ profitability is influenced by both bank-specific factors and changes in theexternal environment. In the...

The purpose of the study is to examine the existence of causality between macroeconomic variables and stock returns in Ghana. The study employs monthly time series data spanning the period January 1995 to December 2010. Unit root test is performed using ADF, PP and KPSS tests. Then, Vector Error...

This study conducts an empirical examination of the impact of market conditions on credit spreads motivated by recently developed structural credit risk models. Using corporate credit spreads, we find that macroeconomic conditions mainly affect low rated bonds. In particular, the CPI and yield...

The stock market is a barometer of a country's economy. The stock market of Pakistan was initiated in the year 1947 at Karachi and KSE100 index was introduced in 1991. The intent of this study was to explore long run, and short run dynamics relationships between KSE100 index and five...

The investment concept of sukuk was created as an alternative to conventional bonds since interest-bearing instruments are prohibited under Islamic law. Sukuk (commonly referred to Islamic bonds) represent a proportional ownership of tangible assets or a pool of assets. However, the key to...

This paper applies the GARCH-MIDAS (Mixed Data Sampling) model to examine whether information contained in macroeconomic variables can help to predict short-term and long-term components of the return variance. A principal component analysis is used to incorporate the information contained in...