In this paper we examine the degree of interdependence between oil prices and four major countries (United

This paper assesses the impact of oil prices on economic growth of the four major OPEC countries (United Arab Emirates, Kuwait, Saudi Arabia and Venezuela) over the period spanning from 03/09/2000 to 03/12/2010. We aim at complementing the results from existing analyses (mainly focused on...

The European institutions have failed on the Cyprus issue, the opportunity to establish their credibility with it. Not only they have not benefited from the modesty of the Cyprus problem to show how they could prevent systemic risks grow in the euro area, but they additionally led an action...

This paper employs a conditional version of the International Capital Asset Pricing Model (ICAPM) to investigate the determinants of regional integration of stock markets in the Latin America over the period 1996-2008. This model allows for three sources of time-varying risks: common regional...

Over recent years, several emerging market regions have actively taken part in globalisation movements and world market integration. However, the financial integration processes appear to vary over time, and differ considerably from one region to another. This paper investigates intraregional...

This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasing power parity (PPP) as well as temporal...

This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level.

We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented

This article studies the dynamic return and market price of risk for Chinese stocks (A-B shares). A Multivariate DCC-GARCH model is used to capture the feature of time-varying volatility in stock returns. We show evidence of different pricing mechanisms explained by the difference in the...

This paper examines the behavioural finance aspects of developed countries which invest significantly in R&D, while trying to benefit from this investment, within the framework of the so called ‘creative intelligence’. At this level, creative intellige