The objective of this paper is to investigate the behavior of the time varying volatility in eleven MENA countries' stock market using a three-state Markov regime-switching model over the period from October 30, 2006 to October 21, 2011. We find that MENA stock market volatility can be...

This paper examines the causality and the dynamic links between exchange rates and stock market indices in Brazil, Russia, India, China, and South-Africa (BRICS). Daily closing prices from January 2008 to February 2018 are used for the analysis. By applying the dynamic panel Generalized Method...

Purpose - This paper aims to investigate simultaneously the causality and the dynamic links between exchange rates and stock market indices. It attempts to identify the short- and long-term effect of the US dollar on major stock market indices of Brazil, Russia, India, China and South-Africa...

Purpose This paper aims at examining the co-movement dependent regime and causality relationships between conventional and Islamic returns for emerging, frontier and developed markets from November 2008 to August 2020. Design/methodology/approach First, the authors used the Markov-switching...

Purpose The objective of this paper is twofold. First, to study the safe-haven characteristic of the Islamic stock indexes and Ṣukūk during the crises time. Second, to evaluate this property in the last pandemic. This study employs the daily dataset from June 15, 2015, to June 15, 2020, for...