In this paper, we investigate the non-parametric relation between political risk and Mexican financial markets. We focus on stock, foreign exchange, financial institutions bond, corporate bond and sovereign bond markets. We apply a quantile correlation approach between five categories of the...

The extent to which the stock market provides a hedge to investors against inflation is examined for African stock markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the elasticities of stock prices with respect to consumer prices...

We employ parametric and non-parametric cointegration to investigate the extent of integration between African stock markets and the rest of the world. Long-run correlation estimates imply very low association between the two. The two distinct cointegration approaches confirm the latter through...