This paper investigates empirically the change(s) in the long-run relationship(s) between the stock prices of eight Far East countries around the Asian financial crisis of 1997-1998. Further tests are conducted to check the change in the influence of the Japanese and the US stock markets in the...

This paper empirically investigates the demand for international reserves (and foreign exchange reserves) during fixed and floating exchange rates periods in three developing countries: Kenya, Mexico and Philippines. Based on theoretical models, three factors are identified as important for the...

This paper investigates stock market mean returns and volatility spillover between stock markets of political and friendly countries. The potential foes and friends are selected according to the political situations in the past ten years. The three pairs of foes tested are Israel-Jordan,...

For the three Baltic countries we find foreign interest rates a more important determinant of domestic interest rates than domestic inflation.

This paper investigates the hedging effectiveness of time-varying hedge ratios in the agricultural commodities futures markets using four different versions of the GARCH models. The GARCH models applied are the standard bivariate GARCH, the bivariate BEKK GARCH, the bivariate GARCH-X and the...

This paper investigates the effect of good or bad news (the asymmetric effect) on the time-varying beta of firms in the UK during good periods (booms) and bad periods (recessions). Daily data from twenty five UK firms of different sizes and from different industries are applied in the empirical...

This paper investigates the time‐varying, long‐run and short‐run dynamic relationships between stock industrial sectors of the US and three leading emerging markets/countries: Brazil, Malaysia, and South Africa between January 2000 and December 2009. A crucial empirical contribution of the...