There is a huge literature on the effects of uncertainty on trade levels. One very strong result of that literature is that uncertainty should not matter, as long as well developed forward markets exist. The empirical implications of this result, however, are hard to find in the data. We model...

This paper provides evidence of integration in European equity and bond markets over the period January 2, 1997 to October 1, 2006. Our focus is to examine time-varying correlation dynamics in Euro-area, Central European (CE) and Balkan financial markets, modifying the asymmetric generalized...

This paper examines a process of order submissions and cancellations in the interbank order driven market of the EUR/PLN currency pair. Our contribution to the existing literature is twofold. We generalize the Asymmetric ACD model (AACD) of Bauwens & Giot (2003) with respect to more than two...

This paper dissects with great acuteness, the issues of convergence in financial performance dynamics in the African continent through the lenses of stock market capitalization, value traded, turnover and number of listed companies. The empirical evidence is premised on 11 homogenous panels...

Abstract Purpose – Natural disasters may inflict significant damage upon international financial markets. The purpose of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and subsequent nuclear crisis....

Financial integration among economies has the benefit of improving allocation efficiency and diversifying risk. However the recent global financial crisis, considered as the worst since the Great Depression has re-ignited the fierce debate about the merits of financial globalization and its...

In this paper, we propose to identify the dependence structure existing between the returns of equity and commodity futures and its evolution through the past 20 years. The key point is that we do not do not impose the dependence structure but let the data select it. To do so, we model the...

Purpose – Natural disasters may inflict significant damage upon international financial markets. The purpose of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and subsequent nuclear crisis....

Some economy theories assume that human is rational and when they make a decision in uncertainty conditions, they will prefer the best choice. Many evidences have been given against these theories. Especially psychology professor Daniel Kahneman’s studies provide evidence that human behave...

How did the Subprime Crisis, a problem in a small corner of U.S. financial markets, affect the entire global banking system? To shed light on this question we use principal components analysis to identify common factors in the movement of banks' credit default swap spreads. We find that fortunes...