This paper examines the volatility spillover effects among Mediterranean equity markets and investigates the effects of the 2007 financial crisis. German, Greek, Spanish, Italian and Portuguese markets are investigated. German market is used as a benchmark market. We employ a multivariate...

Purpose – This paper aims to investigate the contagion effects of stock and FX markets for the USA and european monetary union (EMU) during the US subprime crisis of 2007-2009. Design/methodology/approach -The data sample is daily comprising a weighted Morgan Stanley Capital Index (MSCI) for...

This article investigates international stock market integration in four major developed economies, namely the United States, the Economic and Monetary Union of the European Union, Japan and the United Kingdom, and two Asian emerging, countries namely China and India, over the period from June...

This paper explores the evolution of European stock markets integration with the US stock market, after the formation of European Monetary Union (EMU). To this end, we employ a dynamic version of international CAPM in the absence of purchasing power parity. The conditional covariance matrix of...

In this paper, we define deficit sustainability by requiring formally that both the discounted debt vanish asymptotically and the undiscounted debt be bounded. Thus, a new necessary condition and a new testing procedure emerge. We propose a new test statistic and prove that its limiting...

We empirically investigate the relationship between expected stock returns and volatility in the twelve EMU countries as well as five major out of EMU international stock markets. The sample period starts from December 1992 until December 2007 i.e. up to the recent financial crisis. Empirical...

Purpose – The purpose of this paper is to investigate empirically contagion channels of the 2007 US subprime financial crisis by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan. Design/methodology/approach – In this...

In this work we empirically assess the weak and strong forms of purchasing power parity (PPP) hypothesis for the economies of Japan and US. Monthly data for the, traded-goods price indices and the JPY/USD exchange rate are employed for the, period from January 2000 to October 2012. This period...

This paper empirically investigates the contagion effects of the global financial crisis in a multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) dynamic conditional correlation (DCC) framework during the period 1997–2012. We focus on five most important emerging equity...

This paper improves the test for deficit sustainability developed by Hatzinikolaou and Simos (2013, henceforth HS) by taking into account structural breaks when deriving critical values for the test. Using quarterly data on the US current-account deficit, 1947.1-2012.2, we find that taking into...