The aim of the paper is to investigate dynamic linkages between the main European stock markets and two commodity prices: crude oil and gold. For the empirical analysis we use daily data from the period January 2, 1998 to June 30, 2014. To investigate Granger causality a nonparametric test based...

We empirically investigate the short-run impact of anticipated and unanticipated unemployment rates on stock prices. We particularly examine the nonlinearity in stock market's reaction to unemployment rate and study the effect at each individual point (quantile) of stock return distribution....

We empirically investigate the short-run impact of anticipated and unanticipated unemployment rates on stock prices. We particularly examine the nonlinearity in stock market’s reaction to unemployment rate and study the effect at each individual point (quantile) of stock return distribution....