Purpose – The purpose of this paper is to investigate the international information transmission of return and volatility spillovers from US and Japan markets to Asia-Pacific markets using daily stock market return data covering the period (1991-2004). Design/methodology/approach – This...

Purpose – The purpose of this paper is to examine volatility transmissions between portfolios of cross-listed equities and exchange rate differences and also the volatility persistence for home, foreign equities, and exchange rate differences in the UK and German markets....

Purpose – The purpose of this paper is to analyze narrow money demand functions for the Pacific Island countries (PICs) and evaluate their stability. The selected PICs are Fiji, Vanuatu, Samoa (SAM), Solomons and the Papua New Guinea. The stability of the demand for money is vital for the...

Purpose – The purpose of this paper is to use the recent development in unit root tests and cointegration as applied to panel data and dynamic time series, to estimate the relationship between financial liberalization, financial development and growth. Design/methodology/approach – The paper...

PPurpose – The purpose of the paper is to outline the global financial and economic crisis that began in 2007, together with the macroeconomic policy changes that were put in place as a result. Design/methodology/approach – The content is partly descriptive and partly analytical. Findings...

Purpose – This paper attempts to identify the areas for further research related to regulating credit-rating agencies (CRAs), in order to assess whether the prerequisite for a “complete change” is present so to achieve a genuine paradigm shift on the matter. Design/methodology/approach –...

Purpose – The purpose of this paper is to extend the work of earlier researches relating to insider trading issues in the stock market under a Cournot-Stackelberg duopoly. Design/methodology/approach – This paper models that the competition among the insiders in the real market be...

Purpose – The purpose of this study is to test the validity of Fisher effect for four South Asian and two oil-producing countries, namely India, Bangladesh, Pakistan, Sri Lanka, Kuwait and Saudi Arabia. Design/methodology/approach – The autoregressive distributed lag-bound testing approach...

Purpose – Most of the credit spread literature deals with the determinants of credit spread changes for individual bonds. The purpose of this paper is to investigate the explanatory power of credit spread changes and their determinants for portfolios. Design/methodology/approach – Using...

Purpose – This paper seeks to examine whether the market values the monitoring activity undertaken by a quality bank in the presence of a credit rating agency. Specifically, the question is asked whether the quality of a lead lending bank influences a market reaction to adverse rating...