This paper analyzes the impact of capital on profitability and risk for Islamic and conventional Gulf Cooperation Council (GCC) banks, through the structure-conduct-performance, moral hazard, and regulatory hypotheses. We apply the generalized method of moments (GMM) technique for dynamic...

We analyze the reactions of the returns of four European stock markets to sovereign credit rating changes by Fitch, Moody’s, and Standard and Poor’s (S&P) during the period from June 2008 to June 2012 using panel regression equations. We find that (i) upgrades and downgrades affect both own...

In this paper, we use the sample selectivity model to estimate the systematic risk for Tunisian stocks. This approach is applied in the case of extreme thin trading where data are censored due to the presence of zero returns. The approach is a two-step procedure: a selectivity component which...

This study examines the impact of financial development on energy consumption in a sample of 25 Organization for Economic Cooperation and Development (OECD) countries over the period 1998-2011 by using system-GMM model. Two constructed indexes employing Principle Component Analysis (PCA) that...

Purpose: The purpose of this study is to investigate the performance of Value-at-Risk (VaR) models for nine Middle East and North Africa Islamic indices using RiskMetrics and VaR parametric models. Design/methodology/approach: The authors test the performance of several VaR models using Kupiec...

This paper attempts to shed light on the effectiveness of central bank intervention through the noise trading channel. This channel suggests that central banks should intervene in highly volatile market periods and keep their interventions secret. We conduct an empirical study for the Reserve...