Research classified by Journal of Economic Literature (JEL) codes

2017

• Lorne N. Switzer & Jun Wang & Seungho Lee, 2017, "Extreme risk and small investor behavior in developed markets," Journal of Asset Management, Palgrave Macmillan, volume 18, issue 6, pages 457-475, October, DOI: 10.1057/s41260-017-0047-6.
• Mark Schaub, 2017, "A note on the early effects of the US Presidential vote on Mexican ADR values," Journal of Asset Management, Palgrave Macmillan, volume 18, issue 7, pages 511-515, December, DOI: 10.1057/s41260-017-0043-x.
• Luis Catão & Ana Fostel & Romain Ranciere, 2017, "Fiscal Discoveries and Yield Decouplings," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, volume 65, issue 4, pages 704-744, November, DOI: 10.1057/s41308-016-0027-8.
• Pawel Pisany & Wojciech Dejneka, 2017, "Europejska Unia Rynkow Kapitalowych a zroznicowanie systemow finansowych panstw czlonkowskich
  [Capital Markets Union and differentiation of financial systems in member states]," Catallaxy, Institute of Economic Research, volume 2, issue 1, pages 13-25, June, DOI: 10.24136/cxy.v2i1.2.
• Patrycja Chodnicka-Jaworska, 2017, "Macroeconomic Aspects Of Banks’ Credit Ratings," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 12, issue 1, pages 101-120, March, DOI: 10.24136/eq.v12i1.6.
• Elzbieta Janton-Drozdowska & Alicja Mikolajewicz-Wozniak, 2017, "The impact of the distributed ledger technology on the single European payment area development," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 12, issue 3, pages 519-535, September, DOI: 10.24136/eq.v12i3.28.
• Michal Elzbieta Janton-Drozdowska & Alicja Mikolajewicz-Wozniak, 2017, "The introduction of the distributed ledger technology in banking system as an alernative for Single European Payment Area solutions," Working Papers, Institute of Economic Research, number 80/2017, May, revised May 2017.
• Ewa Karwowski, 2017, "Corporate financialisation in South Africa: From investment strike to housing bubble," Working Papers, Post Keynesian Economics Society (PKES), number PKWP1708, Jul.
• Madeira, Makharam & Masih, Mansur, 2017, "Does the purchasing power parity theory hold for Malaysia ?," MPRA Paper, University Library of Munich, Germany, number 100017, Jul.
• Bakkali, Saad & Masih, Mansur, 2017, "Is the GCC islamic index independent of the conventional interest rates ?," MPRA Paper, University Library of Munich, Germany, number 100636, Mar.
• Malayan, Firoz & Masih, Mansur, 2017, "Causal linkages between the energy sector and islamic regional indexes: evidence from GCC, EU, US, emerging markets and Asia-pacific," MPRA Paper, University Library of Munich, Germany, number 100681, Oct.
• Ashraf, Kamran & Masih, Mansur, 2017, "Does the purchasing power parity theory still hold ? The UK as the case study," MPRA Paper, University Library of Munich, Germany, number 100764, Dec.
• Miras, Hassan & Masih, Mansur, 2017, "Stock returns and macroeconomic factors in an emerging economy: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 101229, Jun.
• Makovsek, Dejan & Moszoro, Marian W., 2017, "Risk pricing inefficiency in public-private partnerships," MPRA Paper, University Library of Munich, Germany, number 101574, Nov.
• Amanbayev, Yerkebulan & Masih, Mansur, 2017, "What factors affect the export competitiveness? Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 102512, Apr.
• Zada, Najeeb & Masih, Mansur, 2017, "Exploring the relationship between the Malaysian islamic index and international islamic indices," MPRA Paper, University Library of Munich, Germany, number 102809, Sep.
• Abdullah, Mace & Masih, Mansur, 2017, "Is there any significant difference in global volatility of and correlation between shari’ah-compliant (Islamic) equities and sukuk ?," MPRA Paper, University Library of Munich, Germany, number 103729, Jul.
• Zakaria, Khairuddin & Masih, Mansur, 2017, "Impact of various islamic equity markets on sharia (islamic) compliant equity invesments in emerging markets," MPRA Paper, University Library of Munich, Germany, number 103799, Nov.
• al Bdiwy, Feras & Masih, Mansur, 2017, "The lead-lag relationship among select regional islamic equity markets," MPRA Paper, University Library of Munich, Germany, number 104973, Apr.
• Farouk, Faizal & Masih, Mansur, 2017, "Lead-lag relationship between islamic ETF price and strategic commodities: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 104977, Mar.
• Ibrahim, Zil Farlilah & Masih, Mansur, 2017, "Is gold a better choice as reserve currency for smaller market economies?," MPRA Paper, University Library of Munich, Germany, number 105474, Jun.
• Hamour, Mohamed & Masih, Mansur, 2017, "The dilemma of the sharia conscious investor: a time series analysis," MPRA Paper, University Library of Munich, Germany, number 106129, Mar.
• Alamsyah, Janoearto & Masih, Mansur, 2017, "Impact of islamic money market development on islamic bank liquidity management: a case study of Indonesia," MPRA Paper, University Library of Munich, Germany, number 106778, Oct.
• Azland, Adam & Masih, Mansur, 2017, "Discerning the relationship between bitcoin and islamic index," MPRA Paper, University Library of Munich, Germany, number 106790, Jul.
• Yaacob, Nurul & Masih, Mansur, 2017, "Do the exchange rate fluctuations of trading partners affect the export competitiveness of a country? Malaysia as a case study," MPRA Paper, University Library of Munich, Germany, number 108037, May.
• Mosteut, Safini & Masih, Mansur, 2017, "Does the exchange rate volatility affect the foreign direct investment? the case of Thailand," MPRA Paper, University Library of Munich, Germany, number 108898, Nov.
• Musaev, Mekhroj & Masih, Mansur, 2017, "Impact of oil price volatility on macroeconomic variables: an ARDL approach," MPRA Paper, University Library of Munich, Germany, number 109252, Aug.
• Isaacs, Ziyaat & Masih, Mansur, 2017, "Testing the long-run relationship between exchange rate, oil price, FDI and GDP: an ARDL approach," MPRA Paper, University Library of Munich, Germany, number 109279, Feb.
• Fadzil, Atikah & Masih, Mansur, 2017, "Does export lead growth? evidence from Japan," MPRA Paper, University Library of Munich, Germany, number 109290, Nov.
• Bekmuratov, Mukhsinbek & Masih, Mansur, 2017, "Granger-causality between oil price and macrovariables: ARDL approach," MPRA Paper, University Library of Munich, Germany, number 109862, Mar.
• Sulaiman, Nadzri & Masih, Mansur, 2017, "Macroeconomic variables and stock markets (domestic and foreign): evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 110154, Feb.
• Cheah, Ping Yean & Masih, Mansur, 2017, "Interdependence of international stock markets: Malaysian case," MPRA Paper, University Library of Munich, Germany, number 110196, Mar.
• Ali, Ariffhidayat & Masih, Mansur, 2017, "Relationship between oil price and gross fixed capital formation: Malaysian case," MPRA Paper, University Library of Munich, Germany, number 110266, Oct.
• Daud, Ariff & Masih, Mansur, 2017, "Is there any relationship between exchange rate and investment ? evidence from Australia," MPRA Paper, University Library of Munich, Germany, number 110655, Aug.
• Sharabati, Yamen & Masih, Mansur, 2017, "Are imports driven by exports or the other way around ?Thailand evidence," MPRA Paper, University Library of Munich, Germany, number 110689, Jul.
• Rahmali, Atiqah & Masih, Mansur, 2017, "Discerning the effect of international stock markets before and after the subprime crisis," MPRA Paper, University Library of Munich, Germany, number 110700, May.
• Mukrim, Anis & Masih, Mansur, 2017, "The impact of macroeconomic variables on the crude palm oil export: Malaysian evidence based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 111740, Dec.
• Salleh, Eddee & Masih, Mansur, 2017, "Does gold act as an inflation hedge ? Malaysian case," MPRA Paper, University Library of Munich, Germany, number 111749, Mar.
• Rahamat, Amri & Masih, Mansur, 2017, "Granger-causality between oil price, exchange rate and government bonds: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 111769, Feb.
• Hoe, Foong Chee & Masih, Mansur, 2017, "Short - and long-run relationship between oil price and exchange rate: evidence from Malaysia based on Markov regime switching approach," MPRA Paper, University Library of Munich, Germany, number 112105, Dec.
• Halim, Abdul & Masih, Mansur, 2017, "Comovement between crude oil prices and shariah stock indices: MGARCH-DCC and wavelet analysis," MPRA Paper, University Library of Munich, Germany, number 112141, Aug.
• Ariff, Azwar & Masih, Mansur, 2017, "Role of global financial crisis in causing dynamic connectedness of Asian equity markets," MPRA Paper, University Library of Munich, Germany, number 112555, Dec.
• Baumöhl, Eduard & Lyócsa, Štefan, 2017, "Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis," MPRA Paper, University Library of Munich, Germany, number 76915, Jan.
• Mavee, Nasha & Bonga-Bonga, Lumengo, 2017, "The unbiased forward rate hypothesis before and after the inflation targeting regime in South Africa: A cointegration Analysis," MPRA Paper, University Library of Munich, Germany, number 77195, Jan.
• Degiannakis, Stavros & Filis, George, 2017, "Forecasting oil prices," MPRA Paper, University Library of Munich, Germany, number 77531, Mar.
• Georgescu, George, 2017, "Bank de-risking impacts on finance and development. The case of Romania," MPRA Paper, University Library of Munich, Germany, number 78247, Apr.
• Skintzi, Vasiliki, 2017, "Determinants of stock-bond market comovement in the Eurozone under model uncertainty," MPRA Paper, University Library of Munich, Germany, number 78278, Apr.
• Antonakakis, Nikolaos & Gabauer, David, 2017, "Refined Measures of Dynamic Connectedness based on TVP-VAR," MPRA Paper, University Library of Munich, Germany, number 78282, Apr.
• Keskinsoy, Bilal, 2017, "Lucas Paradox in the Short-Run," MPRA Paper, University Library of Munich, Germany, number 78783, Apr.
• Keskinsoy, Bilal, 2017, "A Data Survey on International Capital Flows to Developing Countries," MPRA Paper, University Library of Munich, Germany, number 78957, May.
• Razak, Lutfi Abdul & Masih, Mansur, 2017, "Revisit Feldstein-Horioka puzzle: evidence from Malaysia (1960-2015)," MPRA Paper, University Library of Munich, Germany, number 79407, May.
• Ahmed, Azleen Rosemy & Masih, Mansur, 2017, "What is the link between financial development and income inequality? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 79416, May.
• Nazeer, Abdul Malik & Masih, Mansur, 2017, "Impact of political instability on foreign direct investment and Economic Growth: Evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 79418, May.
• Ndiaye, Ndeye Djiba & Masih, Mansur, 2017, "Is inflation targeting the proper monetary policy regime in a dual banking system? new evidence from ARDL bounds test," MPRA Paper, University Library of Munich, Germany, number 79420, May.
• Isaev, Mirolim & Masih, Mansur, 2017, "The nexus of private sector foreign debt, unemployment, trade openness: evidence from Australia," MPRA Paper, University Library of Munich, Germany, number 79423, May.
• Hasson, Ashwaq & Masih, Mansur, 2017, "Energy consumption, trade openness, economic growth, carbon dioxide emissions and electricity consumption: evidence from South Africa based on ARDL," MPRA Paper, University Library of Munich, Germany, number 79424, May.
• Wahab, Fatin Farhana & Masih, Mansur, 2017, "Discerning lead-lag between fear index and realized volatility," MPRA Paper, University Library of Munich, Germany, number 79433, May.
• Hodori, Arif & Masih, Mansur, 2017, "Determinants of profitability of takaful operators: new evidence from Malaysia based on dynamic GMM approach," MPRA Paper, University Library of Munich, Germany, number 79441, May.
• Tanin, Tauhidul Islam & Masih, Mansur, 2017, "Does economic freedom lead or lag economic growth? evidence from Bangladesh," MPRA Paper, University Library of Munich, Germany, number 79446, May.
• Citak, Yusuf Ensar & Masih, Mansur, 2017, "Discerning Granger-causal chain between oil prices, exchange rates and inflation rates: Evidence from Turkey," MPRA Paper, University Library of Munich, Germany, number 79453, May.
• Inderst, Georg, 2017, "UK Infrastructure Investment and Finance from a European and Global Perspective," MPRA Paper, University Library of Munich, Germany, number 79621, May.
• Razak, Razman & Masih, Mansur, 2017, "The links between crude palm oil, conventional and Islamic stock markets: evidence from Malaysia based on continuous and discrete wavelet analysis," MPRA Paper, University Library of Munich, Germany, number 79717, Jun.
• Isaev, Mirolim & Masih, Mansur, 2017, "Macroeconomic and bank-specific determinants of different categories of non-performing financing in Islamic banks: Evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 79719, Jun.
• Hosen, Mosharrof & Masih, Mansur, 2017, "Are Islamic risk factors blessings or curse for stock return? evidence from Malaysia based on dynamic GMM and quantile regression approaches," MPRA Paper, University Library of Munich, Germany, number 79738, Jun.
• Lim, Siok Jin & Masih, Mansur, 2017, "Exploring portfolio diversification opportunities in Islamic capital markets through bitcoin: evidence from MGARCH-DCC and Wavelet approaches," MPRA Paper, University Library of Munich, Germany, number 79752, Jun.
• Abdi, Aisha Aden & Masih, Mansur, 2017, "Do macroeconomic variables affect stock–sukuk correlation in the regional markets? evidence from the GCC countries based on DOLS and FM-OLS," MPRA Paper, University Library of Munich, Germany, number 79753, Jun.
• Broni, Mohammed Yaw & Masih, Mansur, 2017, "Does a country’s external debt level affect its Islamic banking sector development? evidence from Malaysia based on quantile regression and markov regime switching," MPRA Paper, University Library of Munich, Germany, number 79758, Jun.
• Umirah, Fatin & Masih, Mansur, 2017, "Should the Malaysian Islamic stock market investors invest in regional and international equity market to gain portfolio diversification benefits ?," MPRA Paper, University Library of Munich, Germany, number 79762, Jun.
• Chen, Bai & Masih, Mansur, 2017, "Are the Islamic and conventional money markets really highly correlated ? MGARCH-DCC and Wavelet approaches," MPRA Paper, University Library of Munich, Germany, number 79886, Jun.
• Degiannakis, Stavros & Giannopoulos, George & Ibrahim, Salma & Rozic, Ivana, 2017, "Earnings Management to Avoid Losses and Earnings Declines in Croatia," MPRA Paper, University Library of Munich, Germany, number 80164.
• Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2017, "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," MPRA Paper, University Library of Munich, Germany, number 80435.
• Killins, Robert N. & Egly, Peter V. & Escobari, Diego, 2017, "The Impact of Oil Shocks on the Housing Market: Evidence from Canada and U.S," MPRA Paper, University Library of Munich, Germany, number 80529, Jul.
• Chong, Terence Tai Leung & Tsui, Chun & Chan, Wing Hong, 2017, "Factor Pricing in Commodity Futures and the Role of Liquidity," MPRA Paper, University Library of Munich, Germany, number 80555, Feb.
• Hooy, Chee-Wooi & Lee, Meng-Horng & Chong, Terence Tai Leung, 2017, "The Sources of Country and Industry Variations in ASEAN Stock Returns," MPRA Paper, University Library of Munich, Germany, number 80574, Aug.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017, "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper, University Library of Munich, Germany, number 80788, Aug.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017, "Carry Trades and Commodity Risk Factors," MPRA Paper, University Library of Munich, Germany, number 80789, Aug.
• Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2017, "The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach," MPRA Paper, University Library of Munich, Germany, number 81638, Sep.
• Hou, Yang & Nartea, Gilbert, 2017, "Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash," MPRA Paper, University Library of Munich, Germany, number 81995, Oct.
• Hou, Yang & Li, Steven, 2017, "Time-Varying Price Discovery and Autoregressive Loading Factors: Evidence from S&P 500 Cash and E-Mini Futures Markets," MPRA Paper, University Library of Munich, Germany, number 81999, Oct.
• Umairah, Fatin & Masih, Mansur, 2017, "Should the Malaysian islamic stock market investors invest in regional and international equity markets to gain portfolio diversification benefits?," MPRA Paper, University Library of Munich, Germany, number 82117, Jul.
• Reza, Md. Ridwan & Masih, Mansur, 2017, "Regime switching behavior of volatilities of Islamic equities: evidence from Markov- Switching GARCH models for some selected broad based indices," MPRA Paper, University Library of Munich, Germany, number 82123, Jul.
• Mustapha, Ishaq Muhammad & Masih, Mansur, 2017, "Dynamics of islamic stock market returns and exchange rate movements in the ASEAN Countries in a regime-switching environment: Implications for the islamic investors and risk hedgers," MPRA Paper, University Library of Munich, Germany, number 82218, Aug.
• Caspi, Itamar & Graham, Meital, 2017, "Testing for Bubbles in Stock Markets with Irregular Dividend Distribution," MPRA Paper, University Library of Munich, Germany, number 82261, Apr, revised 29 Oct 2017.
• Withanage, Yeshan & Jayasinghe, Prabhath, 2017, "Volatility Spillovers between South Asian Stock Markets: Evidence from Sri Lanka, India and Pakistan," MPRA Paper, University Library of Munich, Germany, number 82782, Aug, revised Nov 2017.
• Hegadekatti, Kartik, 2017, "IBSES: International Bank for Space Exploration and Sciences," MPRA Paper, University Library of Munich, Germany, number 82860, Mar.
• Clark, Ephraim & Qiao, Zhuo & Wong, Wing-Keung, 2017, "Theories of Risk: Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets," MPRA Paper, University Library of Munich, Germany, number 82888, Nov.
• Huang, Yajing & Liu, Taoxiong & Lien, Donald, 2017, "Portfolio Homogenization and Systemic Risk of Financial Network," MPRA Paper, University Library of Munich, Germany, number 82956, Oct.
• Mamoon, Dawood & Nicholas, Howard, 2017, "Financial Liberalisation and Economic Growth: A Preliminary Analysis," MPRA Paper, University Library of Munich, Germany, number 82976, Nov.
• Vinokurov, Evgeny, 2017, "Regional financial integration in ASEAN in the comparative perspective," MPRA Paper, University Library of Munich, Germany, number 83022.
• Abdullahi, Shafiu Ibrahim, 2017, "Stock Market Linkage, Financial Contagion and Assets Price Movements: Evidence from Nigerian Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 83455, Oct, revised Nov 2017.
• Huang, Anni & Kishor, N. Kundan, 2017, "The Rise of Dollar Credit in Emerging Market Economies and US Monetary Policy," MPRA Paper, University Library of Munich, Germany, number 83474, May.
• Huang, Anni & Kishor, N. Kundan, 2017, "Corporate Overseas Debt Issuance in the Context of Global Liquidity Transmission," MPRA Paper, University Library of Munich, Germany, number 83476, Oct.
• Trabelsi, Mohamed Ali & Hmida, Salma, 2017, "A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets," MPRA Paper, University Library of Munich, Germany, number 83718, revised 2017.
• Kodila-Tedika, Oasis & Asongu, Simplice & Cinyabuguma, Matthias & Tchamyou, Vanessa, 2017, "Financial Development and Pre-historic Geographical Isolation: Global Evidence," MPRA Paper, University Library of Munich, Germany, number 84039, Jan, revised Sep 2017.
• Di Filippo, Gabriele, 2017, "What Drives Gross Flows in Equity and Investment Fund Shares in Luxembourg?," MPRA Paper, University Library of Munich, Germany, number 84200, Mar, revised 26 Jan 2018.
• Talmain, Gabriel, 2017, "Two-country Model and Foreign Exchange Dynamics," MPRA Paper, University Library of Munich, Germany, number 85192, Nov.
• Arouri, Mohamed El Hedi & M’saddek, Oussama & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2017, "Cojumps and Asset Allocation in International Equity Markets," MPRA Paper, University Library of Munich, Germany, number 89938, Jan, revised May 2018.
• Yildirim, Ramazan & Masih, Mansur & Bacha, Obiyathulla, 2017, "Determinants of capital structure - Evidence from Shari'ah compliant and non-compliant firms," MPRA Paper, University Library of Munich, Germany, number 90280, Jun, revised 26 May 2018.
• Ozili, Peterson K, 2017, "Earnings Management in Interconnected Networks: A Perspective," MPRA Paper, University Library of Munich, Germany, number 92647.
• Hamid, Zuraini & Masih, Mansur, 2017, "The lead-lag relationship between the rubber price and inflation rate: an evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 95564, Dec.
• Cikiryel, Burak & Masih, Mansur, 2017, "The Impact of Brexit on Islamic Stock Markets Employing MGARCH-DCC and Wavelet Correlation Analysis," MPRA Paper, University Library of Munich, Germany, number 95681, Dec.
• Abba, Junaid & Masih, Mansur, 2017, "Does oil impact Islamic stock markets ? evidence from MENA countries based on wavelet and markov switching approaches," MPRA Paper, University Library of Munich, Germany, number 95693, Jun.
• Nikolaos Antonakakis & Rangan Gupta & Christos Kollias & Stephanos Papadamou, 2017, "Geopolitical Risks and the Oil-Stock Nexus Over 1899-2016," Working Papers, University of Pretoria, Department of Economics, number 201702, Jan.
• Elie Bouri & Rangan Gupta & Seyedmehdi Hosseini & Chi Keung Marco Lau, 2017, "Does Global Fear Predict Fear in BRICS Stock Markets? Evidence from a Bayesian Graphical VAR Model," Working Papers, University of Pretoria, Department of Economics, number 201704, Jan.
• Mehmet Balcilar & Deven Bathia & Riza Demirer & Rangan Gupta, 2017, "Credit Ratings and Predictability of Stock Returns and Volatility of the BRICS and the PIIGS: Evidence from a Nonparametric Causality-in-Quantiles Approach," Working Papers, University of Pretoria, Department of Economics, number 201719, Mar.
• Lelani Coetzee & Goodness C. Aye, 2017, "The Causal Relationship between Exchange Rates and Stock Price Levels in South Africa," Working Papers, University of Pretoria, Department of Economics, number 201722, Mar.
• Rangan Gupta & Seong-Min Yoon, 2017, "OPEC News and Predictability of Oil Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach," Working Papers, University of Pretoria, Department of Economics, number 201726, Apr.
• Rangan Gupta & Chi Keng Marco Lau & Ruipeng Liu & Hardik A. Marfatia, 2017, "Price Jumps in Developed Stock Markets: The Role of Monetary Policy Committee Meetings," Working Papers, University of Pretoria, Department of Economics, number 201727, Apr.
• Ruipeng Liu & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2017, "Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets," Working Papers, University of Pretoria, Department of Economics, number 201728, Apr.
• Qiang Ji & Elie Bouri & Rangan Gupta & David Roubaud, 2017, "Network Causality Structures among Bitcoin and other Financial Assets: A Directed Acyclic Graph Approach," Working Papers, University of Pretoria, Department of Economics, number 201729, Apr.
• Rangan Gupta & Christos Kollias & Stephanos Papadamou & Mark E. Wohar, 2017, "News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets," Working Papers, University of Pretoria, Department of Economics, number 201730, Apr.
• Elie Bouri & Riza Demirer & Rangan Gupta & Hardik A. Marfatia, 2017, "Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note," Working Papers, University of Pretoria, Department of Economics, number 201743, Jun.
• Rangan Gupta & Christian Pierdzioch & Refk Selmi & Mark E. Wohar, 2017, "Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model," Working Papers, University of Pretoria, Department of Economics, number 201744, Jun.
• Refk Selmi & Christos Kollias & Stephanos Papadamou & Rangan Gupta, 2017, "A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US," Working Papers, University of Pretoria, Department of Economics, number 201747, Jun.
• Esin Cakan & Rıza Demirer & Rangan Gupta & Hardik A. Marfatia, 2017, "Oil Speculation and Herding Behavior in Emerging Stock Markets," Working Papers, University of Pretoria, Department of Economics, number 201749, Jun.
• Elie Bouri & Rangan Gupta & Chi Keung Marco Lau & David Roubaud & Shixuan Wang, 2017, "Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles," Working Papers, University of Pretoria, Department of Economics, number 201750, Jun.
• Goodness C. Aye & Hector Carcel & Luis A. Gil-Alana & Rangan Gupta, 2017, "Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016," Working Papers, University of Pretoria, Department of Economics, number 201753, Jul.
• Elie Bouri & Rangan Gupta & Amine Lahiani & Muhammad Shahbaz, 2017, "Testing for Asymmetric Nonlinear Short- and Long-Run Relationships between Bitcoin, Aggregate Commodity and Gold Prices," Working Papers, University of Pretoria, Department of Economics, number 201760, Aug.
• Rıza Demirer & Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2017, "Time-Varying Rare Disaster Risks, Oil Returns and Volatility," Working Papers, University of Pretoria, Department of Economics, number 201762, Aug.
• Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2017, "Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks," Working Papers, University of Pretoria, Department of Economics, number 201767, Sep.
• Christos Bouras & Christina Christou & Rangan Gupta & Tahir Suleman, 2017, "Geopolitical Risks, Returns and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model," Working Papers, University of Pretoria, Department of Economics, number 201777, Nov.
• Patrick Kanda & Michael Burke & Rangan Gupta, 2017, "Time-Varying Causality between Equity and Currency Returns in the United Kingdom: Evidence from Over Two Centuries of Data," Working Papers, University of Pretoria, Department of Economics, number 201778, Nov.
• Elie Bouri & Rangan Gupta & Wing-Keung Wong & Zhenzhen Zhu, 2017, "Is Wine a Good Choice for Investment?," Working Papers, University of Pretoria, Department of Economics, number 201781, Dec.
• Laura Wallenius & Elena Fedorova & Sheraz Ahmed & Mikael Collan, 2017, "Surprise Effect of Euro Area Macroeconomic Announcements on CIVETS Stock Markets," Prague Economic Papers, Prague University of Economics and Business, volume 2017, issue 1, pages 55-71, DOI: 10.18267/j.pep.594.
• Emese Lazar & Ning Zhang, 2017, "Model Risk of Expected Shortfall," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2017-10, Nov.
• Thomas Mertens & Tarek Hassan, 2017, "Currency Manipulation," 2017 Meeting Papers, Society for Economic Dynamics, number 175.
• Srecko Zimic & Romanos Priftis, 2017, "Sources of Borrowing and Fiscal Multipliers," 2017 Meeting Papers, Society for Economic Dynamics, number 294.
• G. Cornelis van Kooten, 2017, "The Policy Challenge of Creating Forest Offset Credits: A Case Study from the Interior of British Columbia," Working Papers, University of Victoria, Department of Economics, Resource Economics and Policy Analysis Research Group, number 2017-02, Mar.
• Hyein Shim & Maria H. Kim & Doojin Ryu, 2017, "Effects of intraday weather changes on asset returns and volatilities," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 35, issue 2, pages 301-330.
• Eugenio Cerutti & Stijn Claessens & Damien Puy, 2017, "Push Factors and Capital Flows to Emerging Markets: Why Knowing Your Lender Matters More Than Fundamentals," ADB Economics Working Paper Series, Asian Development Bank, number 528, Nov.
• Hua Shang & Quanyun Song & Yu Wu, 2017, "Credit Market Development and Firm Innovation: Evidence from the People’s Republic of China," ADBI Working Papers, Asian Development Bank Institute, number 649, Jan.
• Cameron J. Gable & Shalendra D. Sharma, 2017, "Hedge Funds: A Political and Economic Analysis," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 70, issue 4, pages 479-508.
• Bang Nam Jeon & Dazhi Zheng & Lei Zhu, 2017, "Exchange Rate Exposure : International Evidence from Daily Firm-Level Data," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 32, issue 1, pages 112-159.
• Zeynep Ozkok, 2017, "Financial Harmonization and Industrial Growth : Evidence from the European Union," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 32, issue 2, pages 244-282.
• Ewa Karwowski, 2017, "Corporate financialisation in South Africa: From investment strike to housing bubble," Economics Discussion Papers, School of Economics, Kingston University London, number 2017-7, Dec.
• John Yeabsley & Chris Nixon, 2017, "Is peak globalisation upon us? Globalisation is much more than trade in goods," NZIER Working Paper, New Zealand Institute of Economic Research, number 2017/1, Oct.
• Jaber Bahrami & Mosayeb Pahlavani & Reza Roshan & Saeed Rasekhi, 2017, "The Impact of Exchange Rate Changes on Asset Returns in the Framework of a Consumption Based Capital Asset Pricing Model," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, volume 4, issue 1, pages 59-86.
• Elia Aidé Samayoa Salas & Carmen O. Bocanegra Gastelum, 2017, "Financiamiento y cooperación en la frontera México-EUA: Banco de Desarrollo de América del Norte," Revista Nicolaita de Estudios Económicos, Universidad Michoacana de San Nicolás de Hidalgo, Instituto de Investigaciones Económicas y Empresariales, volume 12, issue 1, pages 8-29.
• Julijana Angelovska, 2017, "The Impact Of Financial Crises On The Short-Term Interaction Between Balkan Stock Markets," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 8, issue 2, pages 53-66.
• Tomasz MIZIOLEK & Adam ZAREMBA, 2017, "Fundamental Indexation in European Emerging Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 23-37, March.
• Kedong YIN & Xuemei LI & Bohong LI & Fan ZHANG, 2017, "Shock Effects from International Stock Price Volatility on Investment Style Drift in Chinese Open-end Funds," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 62-78, June.
• Hatice Gaye GENCER & Mehmet Yasin HURATA, 2017, "Risk Transmission and Contagion in the Equity Markets: International Evidence from the Global Financial Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 110-129, September.
• Zhaosu MENG & Kedong YIN & Yan ZHANG & Xun DONG, 2017, "The Risk Contagion Effect of Return Volatility between China’s Offshore and Onshore Foreign Exchange Market," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 5-21, December.
• Mediha Mezhoud & Asma Sghaier & Adel Boubaker, 2017, "The Impact of Internal Governance Mechanisms on the Share Price Volatility of Listed Companies in Paris Stock Exchange," Bulletin of Applied Economics, Risk Market Journals, volume 4, issue 1, pages 1-12.
• Belyakov, Igor (Беляков, Игорь), 2017, "On the Determinants of Sovereign Eurobond Spreads in Russia
  [О Факторах, Определяющих Спрэды Суверенных Еврооблигаций России]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, volume 1, pages 200-225, February.

2016

• Paul McGuinness, 2016, "Post-IPO performance and its association with subscription cascades and issuers’ strategic-political importance," Review of Quantitative Finance and Accounting, Springer, volume 46, issue 2, pages 291-333, February, DOI: 10.1007/s11156-014-0470-4.
• Mi-Hsiu Chiang & Chang-Yi Li & Son-Nan Chen, 2016, "Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy," Review of Quantitative Finance and Accounting, Springer, volume 46, issue 3, pages 459-482, April, DOI: 10.1007/s11156-014-0478-9.
• Javier Vidal-García & Marta Vidal & Duc Khuong Nguyen, 2016, "Do liquidity and idiosyncratic risk matter? Evidence from the European mutual fund market," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 2, pages 213-247, August, DOI: 10.1007/s11156-014-0488-7.
• Qi Deng & Zhong-guo Zhou, 2016, "The pricing of first day opening price returns for ChiNext IPOs," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 2, pages 249-271, August, DOI: 10.1007/s11156-015-0500-x.
• Thomas C. Chiang & Lanjun Lao & Qingfeng Xue, 2016, "Comovements between Chinese and global stock markets: evidence from aggregate and sectoral data," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 4, pages 1003-1042, November, DOI: 10.1007/s11156-015-0529-x.
• Harald Schmidbauer & Angi Rosch & Erhan Uluceviz, 2016, "Frequency aspects of information transmission in a network of three Western equity markets," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1616, Dec.
• Berlinger, Edina & Váradi, Kata & Dömötör, Barbara & Illés, Ferenc, 2016, "A tőzsdei elszámolóházak vesztesége
  [The loss from central clearing houses]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 9, pages 993-1010, DOI: 10.18414/KSZ.2016.9.993.
• Maria do Rosario CORREIA & Christian GOKUS & Andrew Hughes HALLETT & Christian R. RICHTER, 2016, "A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps," Journal of Economics and Political Economy, KSP Journals, volume 3, issue 2, pages 350-376, June.
• Christian Rudolf RICHTER & Bachar FAKHRY, 2016, "Testing the Efficiency of the GIPS Sovereign Debt Markets using an Asymmetrical Volatility Test," Journal of Economics and Political Economy, KSP Journals, volume 3, issue 3, pages 524-535, September.
• Bachar FAKHRY, 2016, "A Regime Switching Explanation of the Reactions of Market Participant during the Crisis," Journal of Economics Bibliography, KSP Journals, volume 3, issue 3, pages 434-449, September.
• Leleng KEBALO, 2016, "South African Exchange Rate After 2000s: An Econometric Investigation," Journal of Economics Bibliography, KSP Journals, volume 3, issue 3, pages 459-481, September.
• M. Akýn DOÐANAY, 2016, "The Twentieth Symposium of Finance," Journal of Economics Bibliography, KSP Journals, volume 3, issue 4, pages 644-645, December.
• Eduard Baumohl & Evzen Kocenda & Stefan Lyocsa & Tomas Vyrost, 2016, "Networks of volatility spillovers among stock markets," KIER Working Papers, Kyoto University, Institute of Economic Research, number 941, May.
• Stephanía Mosquera & Natalia Restrepo & Jorge Uribe, 2016, "Effects of Stock Indices of Developed and Emerging Markets on Economic Activity in Colombia: a FAVAR Approach," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 85, pages 155-178, Julio - D, DOI: 10.17533/udea.le.n85a05.
• Guillén León & Sergio Afcha, 2016, "Socioeconomic Characterization and Equity Market Knowledge of the Citizens of Barranquilla, Colombia," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 85, pages 179-209, Julio - D, DOI: 10.17533/udea.le.n85a06.
• Nicolas DEBARSY & Jean-Yves GNABO & Malik KERKOUR, 2016, "Sovereign Wealth Funds’ cross-border investments: assessing the role of country-level drivers and spatial competition," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 2173.
• Cüneyt Akar, 2016, "Analyzing the Synchronization between the Financial and Business Cycles in Turkey," Journal of Reviews on Global Economics, Lifescience Global, volume 5, pages 25-35.
• Khaled Guesmi & Zied Fiti & Ilyes Abid & Gazi Salah Uddin, 2016, "On the Time Varying Relationship between Oil Price and G7 Equity index: a Multivariate Approach," European Journal of Comparative Economics, Cattaneo University (LIUC), volume 13, issue 1, pages 67-79, June.
• Muhammad Husnain & Arshad Hassan & Eric Lamarque, 2016, "Shrinking the Variance-Covariance Matrix: Simpler is Better," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 21, issue 1, pages 1-21, Jan-June.
• Mobeen Ur Rehman, 2016, "Financial Contagion in EFA Markets in Crisis Periods: A Multivariate GARCH Dynamic Conditional Correlation Framework," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 21, issue 2, pages 121-151, July-Dec.
• Reinhart, Carmen M. & Trebesch, Christoph, 2016, "The International Monetary Fund: 70 Years of Reinvention," Munich Reprints in Economics, University of Munich, Department of Economics, number 43462.
• Tscheke, Jan, 2016, "Operational Hedging of Exchange Rate Risks," Discussion Papers in Economics, University of Munich, Department of Economics, number 30227, Nov.
• Aysegul Ates, 2016, "Relation between ISE 30 index and ISE 30 index futures markets: Evidence from recursive and rolling cointegration," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 4, issue 1, pages 35-42, February.
• Yutaka Kurihara, 2016, "Deterministic Elements of Japanese Stock Prices under Low Interest Rates," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 4, issue 2, pages 24-30, April.
• Harit Satt, 2016, "Religious holidays and analysts forecast optimism: Evidence from MENA countries," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 4, issue 4, pages 1-11, August.
• Thomas Flavin & David Cronin & Lisa Sheenan, 2016, "Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n267-16.pdf.
• Christophe Destais, 2016, "Central Bank Currency Swaps and the International Monetary System," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 52, issue 10, pages 2253-2266, October, DOI: 10.1080/1540496X.2016.1185710.
• Ender Demir & Ka Wai Terence Fung & Zhou Lu, 2016, "Capital Asset Pricing Model and Stochastic Volatility: A Case Study of India," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 52, issue 1, pages 52-65, January, DOI: 10.1080/1540496X.2015.1062302.
• Gemma B. Estrada & Donghyun Park & Arief Ramayandi, 2016, "Taper Tantrum and Emerging Equity Market Slumps," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 52, issue 5, pages 1060-1071, May, DOI: 10.1080/1540496X.2015.1105596.
• Yasin Mimir, 2016, "On International Consumption Risk Sharing, Financial Integration and Financial Development," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 52, issue 5, pages 1241-1258, May, DOI: 10.1080/1540496X.2015.1050927.
• Suan Poh & Chee-Wooi Hooy, 2016, "Effect of Geographical Diversification on Informational Efficiency in Emerging Countries," Capital Markets Review, Malaysian Finance Association, volume 24, issue 1, pages 16-37.
• Massimiliano Kaucic & Roberto Daris, 2016, "Prospect Theory Based Portfolio Optimization Problem with Imprecise Forecasts," Managing Global Transitions, University of Primorska, Faculty of Management Koper, volume 14, issue 4 (Winter, pages 359-384.
• Zsanett Sütõ & Tamás Tóth, 2016, "Key features of the Chinese bond market," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), volume 15, issue 2, pages 88-113.
• Paolo Di Martino & Barbara Pistoresi & Alberto Rinaldi, 2016, "International financial flows, domestic banks, and the economic development of the periphery: Italy, 1861-1913," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0104, Dec.
• Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2016, "Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international financial assets and goods markets," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 16063, Apr, DOI: 10.1016/j.mathsocsci.2016.04.002.
• Hsini Mosbeh & Kouki Mondher, 2016, "The Reversal of Stock Market Trends as a Behavioral Bias: Evidence from Tunisian Stock Exchange," Business and Economic Research, Macrothink Institute, volume 6, issue 2, pages 13-29, December.
• Jan F. Kiviet & Zhenxi Chen, 2016, "A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1606, Feb.
• José Antonio Núñez Mora & Leovardo Mata Mata, 2016, "Covariances matrix under the multivariate-Gh funtion to desing portfolios," Contaduría y Administración, Accounting and Management, volume 61, issue 3, pages 535-550, Julio-Sep.
• Kosuke Aoki & Shin-ichi Fukuda & Takeo Hoshi & Takashi Kano, 2016, "International Finance in the Global Markets," NBER Books, National Bureau of Economic Research, Inc, number aoki-2.
• Lorenzo Bretscher & Christian Julliard & Carlo Rosa, 2016, "Human Capital and International Portfolio Diversification: A Reappraisal," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2015".
• Joel M. David & Ina Simonovska, 2016, "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2015".
• Karen K. Lewis & Edith X. Liu, 2016, "Disaster Risk and Asset Returns: An International Perspective," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2016".
• Konrad B. Burchardi & Thomas Chaney & Tarek A. Hassan, 2016, "Migrants, Ancestors, and Investments," NBER Working Papers, National Bureau of Economic Research, Inc, number 21847, Jan.
• Shin-ichi Fukuda, 2016, "Strong Sterling Pound and Weak European Currencies in the Crises: Evidence from Covered Interest Parity of Secured Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 21938, Jan.
• Markus K. Brunnermeier & Luis Garicano & Philip Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016, "The Sovereign-Bank Diabolic Loop and ESBies," NBER Working Papers, National Bureau of Economic Research, Inc, number 21993, Feb.
• Rajnish Mehra & Arunima Sinha, 2016, "The Term Structure of Interest Rates in India," NBER Working Papers, National Bureau of Economic Research, Inc, number 22020, Feb.
• Nicholas Ford & Charles Yuji Horioka, 2016, "The "Real" Explanation of the Feldstein-Horioka Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 22081, Mar.
• Zhi Da & Borja Larrain & Clemens Sialm & José Tessada, 2016, "Coordinated Noise Trading: Evidence from Pension Fund Reallocations," NBER Working Papers, National Bureau of Economic Research, Inc, number 22161, Apr.
• Nicola Cetorelli & Linda S. Goldberg, 2016, "Organizational Complexity and Balance Sheet Management in Global Banks," NBER Working Papers, National Bureau of Economic Research, Inc, number 22169, Apr.
• Nicholas Ford & Charles Yuji Horioka, 2016, "The 'Real' Explanation of the PPP Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 22198, Apr.