This study employs 14 global economic and financial variables to predict the return of the Islamic stock market as identified by the Dow Jones Islamic Stock Market (DJIM). It implements alternative forecasting methods and allows for nonlinearity in the multivariate predictive regressions by...

We analyse the performance characteristics of sustainable investments over the period 2004 to 2013. Our unconditional analysis shows that the sustainable portfolios, represented by the Dow Jones Sustainability Indices for the global and three regional markets, experience lower Sharpe ratios than...

In this article, we investigate the hypothesis of efficiency of central bank intervention policies within the current global financial crisis. We firstly discuss the major existing interventions of central banks around the world to improve liquidity, restore investor confidence and avoid a...

The aim of this article is to study linkages between equity and information technology sector prices. We thus investigate the price adjustment dynamics of the Information Technology (IT) sector in response to the 2007--2009 worldwide market shock for two representative developed countries...

Appropriate modelling of the process of volatility has implications for portfolio selection, the pricing of derivative securities and risk management. Further, a large body of research has suggested that both long memory and structural changes simultaneously characterize the structure of...