The concept of efficient market hypothesis has prevailed the financial markets for a long time which says that the prices of the securities reflect all available information. This approach was mainly followed by the rational investors but with the passage of time, the concept of behavioral...

The study examines the systemic risk of banking sector in Pakistan and elucidates the factors that exacerbate the systemic risk taking. First, a systemic risk measure ∆CoVaR is applied to analyze the contribution of individual institution to the whole financial system. Secondly, systemic risk...

Last couple of decades witnessed recognition of energy markets as investment commodities which led interest of the international investment community. We investigate the potential of globally diverse alternative energy markets for optimal returns by analysing their correlation pattern. Our study...

Systemic risk is of concern for economic welfare as systemic financial crisis has the potential to inefficiently lower the supply of credit to the nonfinancial sector. Conventional systemic risk measures are parsimonious in nature and are used to assess the current systemic risk contributions of...

This study aims to explore the relationship between market integration, foreign portfolio equity holding and inflation rates on international stock market linkages between Pakistan and India. To measure stock equity interlinkage, we constructed international co-movement index through rolling...

The paper explores the linkages between labor productivity, innovation and technology spillovers in a panel of manufacturing industries. The roles of R&D, human capital and international trade are considered in stimulating innovation and/or facilitating technology transfer. Using panel-based...

The paper estimates an empirical model that is consistent with a variety of R&D- driven model of growth where technology is transmitted via trade to other industries, both domestically and internationally, by being embodied in differentiated intermediate goods. The evidence is based on data from...

This paper examines the underlying dynamics of selected euro-area sovereign bonds by employing a factor-augmenting vector autoregressive (FAVAR) model for the first time in the literature. This methodology allows for identifying the underlying transmission mechanisms of several factors; in...

Aktienmarkt-Volatilität und Abweichungen von den makroökonomischen Fundamentalfaktoren: Beweise auf der Grundlage der Modelle GARCH und GARCH-X In diesem Beitrag werden die Volatilität des US-Aktienmarktes und die Auswirkungen kurzfristiger Abweichungen zwischen Aktienkursen und bestimmten...

This empirical study analyzes the information and predictive content of the Baltic Dry Index (BDI) with respect to a range of financial assets and the macroeconomy. By using panel methodological approaches and daily data spanning the period 1985-2012, the empirical analysis documents the joint...