We analyze the reactions of the returns of four European stock markets to sovereign credit rating changes by Fitch, Moody’s, and Standard and Poor’s (S&P) during the period from June 2008 to June 2012 using panel regression equations. We find that (i) upgrades and downgrades affect both own...

This paper examines the dependence structure between the emerging stock markets of the BRICS countries (Brazil, Russia, India, China and South Africa) and influential global factors (the S&P 500 index, the commodity markets, the global stock market uncertainty and the US economic policy...

We propose an enhanced regime-switching model to investigate the relationships between oil price surges and stock market cycles in five oil-dependent countries over the period from January 1989 to December 2007. Our model accounts for the joint effects of the WTI (West Texas Intermediate) and...

The paper employs an event study methodology to investigate the macroeconomic announcements effects on S&P500 and oil prices. Our results provide evidence of a significant impact of the US macroeconomic news on oil prices. This impact is split into two components, namely the direct effect...

This article investigates shift-contagion as defined by Forbes and Rigobon (2002) in 16 OECD member economies during most recent financial crisis i.e. global financial crisis (2008 -2009) and European sovereign debt crisis (2009-2012), using multivariate asymmetric dynamic conditional...

This paper proposes a new class of semiparametric generalized long memory model with FIA- PARCH errors (SEMIGARMA-FIAPARCH model) that extends the conventionnel GARMA model to incorporate nonlinear deterministic trend, in the mean equation, and to allow for time varying volatility, in the...

This paper proposes to investigate the impact of ?nancialization on energy markets (oil, gas, coal, and electricity European forward prices) during both normal times and periods of extreme ?uctuation through an original behavioral and emotional approach. With this aim, we propose a new...

This article investigates the potential of nonlinear causal relationships between world oil prices and stock markets in MENA countries during a black swan period that is characterized by rarity and devastating impacts. By using the nonlinear and asymmetric causality test of Kyrtsou and Labys...

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...

Over the past decade, the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them. This article deals with the dynamic return and volatility spillovers...