The purpose of this paper is to examine the volatility relationship that exists between emerging and developed markets in normal times and in times of financial crises. The Vector Autoregressive methodology and the Bai and Perron (2003a,b)’s technique are used. The paper results lead to very...

This paper aims at comparing the effects of financial liberalization on emerging stock markets' volatility at normal times to the ones in periods of financial crises. To this purpose, a treatment effects model for 13 emerging economies is estimated over January 1986 to December 2008. Three types...

This article aims to determine the impact of financial liberalization on the informational efficiency in emerging stock markets. For this purpose, we estimate a time-varying parameter model combined with structural change technique for 13 emerging economies from January 1986 to December 2008....

This paper investigates whether or not there are differential effects of monetary policy across bank characteristics in some selected MENA countries namely Egypt, Jordan, Morocco, and Tunisia, to test for the presence of the bank lending channel (BLC). It uses a panel of micro bank balance sheet...

This paper aims to assess the impact of financial liberalization on the degree of informational efficiency in emerging stock markets while considering three types of financial crises, i.e. banking, currency and twin crises. To this end, a treatment effects model with time-varying parameters is...

Relatively little empirical evidence is available that estimates the relationship between asset price movements and monetary policy measures. This paper, which is the first study that focus on the linkage between monetary policy and stock market prices, aims at analyzing the interaction between...