This paper investigated the relationship between cryptocurrencies and emerging stock market indices using fractional integration and co-integration technique. Particularly, fractional integration is applied to examine stochastic properties of individual assets and fractional cointegration to...

This research paper empirically examines the impact of real exchange rate volatility on trade in the context of South Africa’s exports to the U.S. for the South Africa’s floating period January 1995-February 2007. In measuring real exchange rate volatility, this study utilised GARCH. After...

The paper aimed to examine the spillover effect between US and major European stock markets. This issue is carried out through DCC form of EGARCH model by Nelson (1991). Empirical evidence suggests that there is spillover effect from London market to New York, Pairs and Frankfurt stock markets....