This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different long memory approaches (R/S analysis and fractional integration) we show that this market is inefficient and the degree of persistence is not the same in different stages of the...

This paper examines the behavior of financial markets efficiency during the recent financial market crisis. Using the Hurst exponent as a criterion of market efficiency we show that level of market efficiency is different for pre-crisis and crisis periods. We also classify financial markets of...

The article deals with the nature,basic principles and objectives of the bank risk management system under modern conditions and the requirements of regulators to the transparency of its activities are considered. The authors developed a scheme of risk management and justified basic disclosure...

This paper examines the short-term price reactions after one-day abnormal price changes on the Ukrainian stock market. The original method of abnormal returns calculation is examined. We find significant evidence of overreactions using the daily data over the period 2008-2012. Our analysis...

Efficient market hypothesis fails from time to time. There are many reasons why it happens. We will try to concentrate on one of them – force-majeure events – situations when something important happens unexpectedly. In this case market simply can’t absorb information in one moment. So for...

This article focuses on the effect of the Covid-19 pandemic on tourism in several African countries located in Eastern and Southern Africa, focusing on five, namely, Burundi, Eswatini, Kenya, Mauritius and Seychelles which are important tourism destinations in Africa. For this purpose,...

In this paper we examine several approaches to detecting changes in the adjustment coefficients in cointegrated VARs. We adopt recursive and rolling techniques as mis-specification tests for the detection of non-constancy and the estimation of the breakpoints. We find that inspection of the...

The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach, based on the tests of Robinson (1994), introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a...