This study utilizes a newly constructed index for financial stress to examine its predictive value for exchange rate volatility in sub-Saharan Africa (SSA). Using a methodology that accounts for the key features of the predictive model, we find that financial stress significantly and positively...

The Heteroskedastic Mixture Model (HMM) of Lamoureux, and Lastrapes (1990) is extended, relaxing the restriction imposed on the mean i.e. μt-1=0 . Instead, an exogenous variable rm, along with its vector βm, that predicts return rt is introduced to examine the hypothesis that the volume is a...

The phenomenal growth of derivative markets across the globe indicates their impact on the global financial scene. As the securities markets continue to evolve, market participants, investors and regulators are looking at different way in which the risk management and hedging needs of investors...

Stock markets have always provided countries with a practical and flexible way to finance their economies. Hence, Islamic finance has embraced the stock market since the early 90s adopting the same framework as an ethical investment. Accordingly, Islamic investors in emerging countries shall...

I develop a search-and-bargaining model of endogenous intermediation in over-the-counter markets. Unlike the existing work, my model allows for rich investor heterogeneity in three simultaneous dimensions: preferences, inventories, and meeting rates. By comparing trading-volume patterns that...

I develop a search-and-bargaining model of liquidity provision in over-the-counter markets where investors differ in their search intensities. A distinguishing characteristic of my model is its tractability: it allows for heterogeneity, unrestricted asset positions, and fully decentralized...

The main objective of this paper is to evaluate the role of safe-haven assets (SHAs) in enhancing the performance of an international portfolio (IP) during financial crises. The paper used daily price data from 2007 to 2024 and focused on three major financial crises: The Global Financial Crisis...

Our paper examines conditional risk-return relations in a cross-section of currency portfolios, while modeling economic states using a large number of underlying risk factors. We identify a time-varying relationship between currency returns and volatility risk: investors require a positive risk...

This study investigates the portfolio diversification possibilities among Australian sectoral, size and style indexes and between Australian aggregate equity index and selected international indexes. Two analytical methods are used – nonparametric cointegration that appears to be the most...

This paper is aimed at determining the dynamic links of conventional and Islamic, regional and international equity markets with Shariah compliant equity (FTSE Hijrah Shariah Index) investing in Malaysia using MGARCH-DCC and Wavelet Coherence, given different holding periods. The data for this...