This paper examines the short term and long term dependencies between stock market returns for the Gulf Cooperation Council (GCC) Countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates) during the period 2005–2010. Our empirical investigation is based on the...

Business cycle synchronization has been one of the most debated issues in the Gulf Cooperation Council (GCC) countries as it is the basic requirement for the stability of a monetary union that GCC countries have sought to wish to create in 2010. In this article, we attempt to investigate whether...

We assess the co-movement between the sharia-compliant stocks and sukuk in the Gulf Cooperation Council (GCC) countries. The wavelet squared coherency approach is applied to daily data covering GCC global, corporate and financial services sukuk indexes as well as GCC sharia stocks. The empirical...

In this paper, we investigate the volatility spillovers between sukuk and sharia-compliant stocks in GCC countries. A multivariate Fractionally Integrated Asymmetric Power ARCH model with dynamic conditional correlations (DCC) is estimated under Student-t distribution. We provide strong evidence...

In this paper we explore the nature of the mean, volatility and causality transmission mechanism between stock and foreign exchange markets for the United States and some major European markets for the periods pre- and post-euro. The asymmetric volatility transmission is described by an extended...

This article uses the DCC–FIAPARCH model to examine the time-varying properties of conditional return and volatility of crude oil and US stock markets as well as their dynamic correlations over the period 1988–2013. Our results indicate that both the long memory and asymmetric behavior...

In this paper, we use the copulas functions in financial application, namely to examine the assumption of asymmetric dependence and to calculate some measures of risk. The first step consists of deducing filtered residuals for each return series by an asymmetric Glosten-Jagannathan-Runkle...

This paper investigates the dynamics of information flow between stock return and trading volume in the Tunisian Stock Market (TSE) using intraday data covering the year 2006. The Cross-Correlation Function (CCF) suggested by Cheung and Ng is employed to detect the causality in mean and in...

We combine the global Hurst exponent and Morlet wavelet multi-resolution analysis (MRA) to investigate the dynamic behaviour of six selected stock markets in the Mediterranean region. Specifically, we employ the resonance coefficients and their power spectra to identify potential extreme...

This article uses the DCC-FIAPARCH model to examine the time-varying properties of conditional return and volatility of crude oil and US stock markets as well as their dynamic correlations over the period 1988-2013. Our results indicate that both the long memory and asymmetric behavior...