Given the rapidly evolving nature of financial globalization, this paper models and predicts financial integration in a changing world. By decomposing integration into global risk, local risk and estimation risk, we argue that greater integration is mainly driven by global factors, not...

This paper investigates the impact of business and political news on stock market returns in the Gulf Cooperation Council (GCC) countries. For this purpose, it employs a Markov switching model including a separate index for each of the two categories of news considered. The results indicate the...

This note investigates the effects of the recent political tensions in the Arabian peninsula on the linkages between the stock markets of the leading GCC countries by estimating a VAR-GARCH (1,1) model at a weekly frequency. The results indicate that the June 2017 crisis lowered stock market...

Stock exchange industry consolidation is at work since many years and has recently accelerated through competition for order flows, agreements and mergers. However, consolidation may not mean that all shocks are transmitted to every place. Therefore, following Forbes and Rigobon (2002) we...

Empirical techniques to assess market comovements are numerous from cointegration to dynamic conditional correlations. This paper uses the fractal properties of asset returns and presents estimations of Markov switching multifractal models [as MSM] to give new insights about short and long run...

A multivariate BEKK GARCH representation is employed to model stock market interdependence in groups of EC stock markets between 1987 and 2003. Using daily data, we estimate the effect that news or information spillovers from one market has on the next day returns in other markets. We quantify...

The paper develops a simple model to explain Covered Interest Parity (CIP) deviations. The model allows for a time-varying country risk premium and is used to motivate a Structural Vector Auto-Regression (SVAR) approach to study the joint dynamics of the Covered Interest Differential (CID) and...

With the rise of interconnected global financial systems, there is an increased risk that a financial crisis in one country may spread to others. The contagion effects of the 2008 global financial crisis hit advanced economies fast and hard while sparing less developed and less integrated...

The contagion across capital markets is an important phenomenon in an increasingly integrated financial world. To investigate the contagion from the U.S., Japan, and Hong Kong to Asian emerging economies, we design a research strategy which captures fundamental interdependence among these stock...

The paper develops a Markov switching multifractal model with dynamic conditional correlations. The objective is to give more flexibility to the initial bivariate Markov switching multifractal model [MSM] (Calvet et al. (2006)) by introducing some time dependency in the comovement structure. The...