Crisis shocks often lead to changes in the interdependence across stock markets, and thus risk assessment and management. This paper investigates the extent to which the global financial crisis of 2008-2009, which was triggered by the US subprime crisis in 2007, and the European debt crisis...

This paper uses four ADF-type unit root tests and four KPSS-type stationarity tests to examine whether the gender unemployment gap would converge to zero in Africa. Among these different tests, the two most restricted models, namely the ADF test and the KPSS test, indicate no convergence in the...

This paper deals with the analysis of inflation in financial returns by using model-free connectedness framework which includes investigating persistence in the series and data from 22 countries from April 1958 to November 2023 which are grouped into highly, medium and lowly correlated returns....

This paper empirically provides support for fractional cointegration of high and low cryptocurrency price series, using particularly, Bitcoin, Ethereum, Litecoin and Ripple; synchronized at different high time frequencies. The difference of high and low price gives the price range, and the...

Over the past decades, there is an increased trend in the international financial integration as countries are removing and relaxing controls on cross-border investment. Capital can flow easily to the destination that offers higher returns as the results of decreasing obstacles to international...

This paper investigates the relationship between liquidity and stock returns in the Vietnam stock market during financial crisis using a data set ranging from 2006 to 2010. Employing a rich and detailed dataset of characteristics of firm listed in Ho Chi Minh City Stock Exchange, the results...

This paper investigates foreign ownership in the Vietnam stock market from 2007 to 2009 employing a rich and detailed dataset. From the perspective of informational asymmetry, the paper examines the relationship between the foreign ownership level and attributes of Vietnamese listed firm in Ho...

The exchange rate disconnect puzzle argues that macroeconomic fundamentals are not able to accurately predict exchange rate. Recent studies have shown that the puzzle could be upturned if: (a) the dataset is structured in a panel form; (b) the model is based on the portfolio balance theory...

This study evaluates the link between human capital, energy consumption, and economic growth using data for the Chinese economy from 1971 to 2018. To test the cointegration relationship between disaggregated energy, human capital, and economic growth, a bounds testing approach is applied by...

Day-of-the-week persistence and seasonality of electricity prices in Spain, spanning 01/01/2006 to 04/11/2021, are investigated by employing updated fractional persistence frameworks in nonlinear settings. The results show marginal higher persistence in electricity prices during the working days...