The equity premium puzzle is one of the most important phenomena in finance. Related to behavioral finance, we use the concept of Myopic Loss Aversion (MLA) to explain the puzzle in developed and emerging markets. Empirically, we support the robustness of the positive equity premium across the...

This paper investigates the volatility spillover and the dynamic correlation between crude oil and stock index returns. Monthly returns from January 1997 to December 2010 of the crude oil, oil-importing and oil-exporting stock indices are analysed using three multivariate GARCH specifications...

Purpose: The purpose of this paper is to examine the relation “diversification-risk-performance” for Islamic and conventional banks in different financial stress levels. Also, it aims to investigate the impact of the structure of board directors, macroeconomic variables and banking specific...

This paper explores the problem of the current global financial crisis, using a behavioral perspective. Particularly, the main objective of this paper is to test whether overconfidence bias can explain excessive volatility witnessed during global financial crisis in developed and emerging equity...

Purpose: The purpose of this paper is to empirically investigate the volatility spillover between the Chinese stock market, investor’s sentiment and oil market, specifically during the 2014‒2016 turmoil period. Design/methodology/approach: This study used the daily and monthly China market...

Purpose: This paper investigates the impact of financial stress on the dynamic connectedness and hedging for oil market and stock-bond markets of the Gulf Cooperation Council (GCC). Design/methodology/approach: This study uses...

In this study we investigate the return-implied volatility relationship in the French market by considering the behavioural biases of representativeness, extrapolation and affect. We find a strong evidence of negative and asymmetric return-implied volatility relationship at daily frequency,...