Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets...

This article studies the efficiency of the aluminium market based on contracts traded on the London Metal Exchange (LME) over the last 3 decades. We test for both short- and long-run efficiency using nonlinear cointegration and Error Correction Models (ECM). Our findings suggest the following...

The objective of this paper is to investigate the volatility spillovers between oil and stock markets in Europe. As not all industries are expected to be equally affected by oil price changes, we conduct our study at both the aggregate as well as sector levels. Empirically, we make use of a...

We investigate the potential of structural changes and long memory (LM) properties in returns and volatility of the four major precious metal commodities traded on the COMEX markets (gold, silver, platinum and palladium). Broadly speaking, a random variable is said to exhibit long memory...

This paper investigates the return links and volatility transmission between oil and stock markets in the Gulf Cooperation Council (GCC) countries over the period 2005-2010. We employ a recent generalized VAR-GARCH approach which allows for transmissions in return and volatility. In addition, we...

This article proposes a theoretical testable capital asset pricing model for partially segmented markets. We establish that if some investors do not hold all international assets because of direct and/or indirect barriers, the world market portfolio is not efficient and the traditional...

Purpose – The purpose of this paper is to propose an empirical procedure for examining the time-varying features of cross-market correlations in selected Gulf stock markets. Design/methodology/approach – The paper directly infers the cross-market linkages from the stock data using a...

This article investigates the existence of short- and long-term relationships between oil prices and GCC stock markets. Since most of the GCC countries are among the major players in the world energy markets, their stock markets may be subjected to considerable influences of oil price shocks....

This article contributes to the related literature by empirically investigating the efficiency of nine energy and precious metal markets over the last decades, employing several pronounced models. We test for both short- and the long-run efficiency using, in addition to linear cointegration...

We investigate the dynamic relationships between the US five-year financial CDS sector index spreads for the banking, financial services and insurance sectors in the short- and long-run over the recent period which is marked by the onset of the global financial crisis. For this purpose, we...