This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using the best fitting model among SGARCH, EGARCH and...

This article investigates the exchange rate volatility spillover and dynamic conditional correlation between the euro and the South African rand following the Eurozone sovereign debt crisis. It employs two multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) models,...

We provide empirical evidence supporting the economic reasoning behind the impossibility of diversifcation benefts and the hedge attributes of cryptocurrencies remaining in force during the downside trends observed in bearish fnancial markets. We employ a spillover connectedness model driven by...

This study analyzes the effect of monetary policy, which are proxied by weighted average cost of funding (WACF) and Borsa Istanbul repurchase interest rate (REPO), on the returns of the main financial assets of monetary policy in Türkiye. Using daily data between January 4, 2011 and August 31,...

This study examines the statistical properties required to model the dynamics of both the returns and volatility series of the daily stock market returns in six Gulf Cooperation Council countries, namely Bahrain, Oman, Kuwait, Qatar, Saudi Arabia, and the United Arab Emirates, under different...

The aim of this paper is to present the method for estimating the cost of capital of typical portfolios available on the Warsaw Stock Exchange. The authors introduce the three factor Fama-French model and its two modifications. They also apply the bootstrap method to evaluate the variability of...

Using developing countries in Europe for context, this study examines the complex relationship between financial crises and financial integration. We use panel data comprising 37 countries in Europe, including Iceland, Belarus, Ukraine, Turkey, and Russia from 2000-2019 and the general method of...

We employ a threshold vector error correction model approach to investigate the impact of China's exchange rate marketization reform in August 2015 on the linkage between renminbi (RMB) onshore (CNY) and offshore (CNH) exchange rates and the impact of post-reform policy interventions by the...

The objectives of this paper are to analyse the presence of multifractality in daily exchange rates of the US dollar (USD), British Pound (GBP), Euro (EUR), and Japanese Yen (JPY) relative to the Indian Rupee (INR) for a specific period (1999-2018) and to investigate the source of the observed...