In this study, we apply a new recursive test proposed by Philips et al (2013) to investigate whether there exist multiple bubbles in the BRICS (Brazil, Russia, India, China and South Africa) stock markets, using monthly data on stock price-dividend ratio. Our empirical results, the first of its...

Two recent nonlinear causality tests are used to examine the causal linkages across increasingly important international equity and commodity markets. We show that nonlinear causality is more appealing when asymmetric patterns are accounted for. The results are crucial to hedging and portfolio...

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...

In this article, we examine the recent trends in dependence structure between the fast-growing commodity markets and the stock markets in China in order to draw implications for portfolio investment. We address this issue by using copula functions that allow for measuring both average and tail...

The mispricing of the deep-in-the money and deep-out-the-money generated by the Black and Scholes model is now well documented in the literature. In this paper, we discuss different option valuation models on the basis of empirical tests carry out on the French option market. We examine methods...

We examine the composition and drivers of cross-border bank lending between 1995 and 2012, distinguishing between syndicated and non-syndicated loans. We show that on-balance sheet syndicated loan exposures, which account for almost one third of total cross-border loan exposures, increased...

In this article we investigate whether technical analysis tools are useful in periods of financial crisis. For the four major Latin American indices: —Bovespa (Brazil), IGBLV (Peru), IPC (Mexico) and IPSA (Chile)— we did not find evidence to support the use of Technical Analysis in periods...

The present crisis in the Euro is one of the most serious crises reported in history. The fact that different countries that adopted the Euro have different conditions to support asymmetric shocks in their economies could explain some of the consequences currently affecting the Eurozone. In this...

This paper investigates the relative role of price discovery between two long-term swap contracts that exchange between the U.S. dollar and the Japanese yen: cross-currency basis swap and FX (foreign exchange) swap. First, we show that these two swaps should be in a no-arbitrage relationship by...

This paper analyzes developments in the Japan premium in three markets - the dollar market, the yen market, and the dollar/yen swap market - in the autumn of both 1997 and 1998, when concern increased with respect to the creditworthiness of Japanese banks. Among the three Japan premiums, the...