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This paper contributes to the literature on the financial integration in international stock markets by examining the dynamic relationship between global factors and herd behavior in an emerging market. Utilizing a time-varying transition probability Markov Switching model (TVTP-MS), we examine...
Persistent link: https://www.econbiz.de/10010778507
This paper contributes to the literature on the financial integration in international stock markets by examining the dynamic relationship between global factors and herd behavior in an emerging market. Utilizing a time-varying transition probability Markov Switching model (TVTP-MS), we examine...
Persistent link: https://www.econbiz.de/10010779964
This paper contributes to the literature on the financial integration in international stock markets by examining the dynamic relationship between global factors and herd behavior in an emerging market. Utilizing a time-varying transition probability Markov Switching model (TVTP-MS), we examine...
Persistent link: https://www.econbiz.de/10010781913
Purpose – The purpose of this paper is to examine the international diversification benefits of Islamic bonds (Sukuk) for equity investors in conventional stock markets. The authors compare the diversification benefits of these securities with their conventional alternatives from advanced and...
Persistent link: https://www.econbiz.de/10014941583
This paper explores international diversification benefits of Islamic bonds (sukuk) by examining dynamic spillovers and correlations between sukuk and conventional bond and stock markets. Asymmetric volatility spillover effects are observed from global debt and equity markets to Islamic bonds,...
Persistent link: https://www.econbiz.de/10013023628
This paper contributes to the literature on the financial integration in international stock markets by examining the dynamic relationship between global factors and herd behavior in an emerging market. Utilizing a time-varying transition probability Markov Switching model (TVTP-MS), we examine...
Persistent link: https://www.econbiz.de/10013034767
This paper proposes a Markov-Switching (MS) test of herding behavior in China's segmented stock markets under a regime-changing environment. Using firm-level data on the A-shares (denominated in Chinese Renminbi) and B-shares (denominated in U.S. and Hong Kong dollars), we estimate an MS model...
Persistent link: https://www.econbiz.de/10013100394
This paper examines the dynamic relationship between global factors and herding behavior in the oil-rich frontier stock markets of the Gulf Cooperation Council (GCC), using a time-varying transition probability Markov Switching model (TVTP-MS). Our results suggest that the GCC frontier stock...
Persistent link: https://www.econbiz.de/10013088754