Traditional finance explains the investment process on rational and logical grounds based on the assumption of rationality of average investor. This paper attempts to understand why traditional finance models fail to capture stock market movements and how behavioral finance explains that failure...

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 examines Pakistani Banks stock return and volatility relationship with market, interest rate and foreign exchange rate. The study extensively applies different statistical approaches to model return and volatility relation. First, Ordinary Least Square (OLS) multiple regression model...

Purpose The purpose of this paper is to identify the arbitrage opportunities between US industry-level credit and stock markets with a focus on dynamic lead-lag relationships given that these markets involve heterogeneous agents operating over various time horizons. Design/methodology/approach...

This paper employs a VAR-GARCH model to investigate the return links and volatility transmission between the S&P 500 and commodity price indices for energy, food, gold and beverages over the turbulent period from 2000-2011. Understanding the price behavior of commodity prices and the volatility...

Crisis shocks often lead to changes in the interdependence across stock markets, and thus risk assessment and management. This paper investigates the extent to which the global financial crisis of 2008-2009, which was triggered by the US subprime crisis in 2007, and the European debt crisis...

Purpose: This paper examines dynamic return spillovers and connectedness networks among international stock exchange markets. The authors account for asymmetry by distinguishing between positive and negative returns. ...

Purpose: This paper aims to examine the frequency of co-movements and asymmetric dependencies between bitcoin (BTC), gold, Brent crude oil and the US economic policy uncertainty (EPU) index. Design/methodology/approach: The authors use a wavelet approach and a quantile-on-quantile regression...