This paper investigates the relationship between the BRICs’ and the advanced economies’ stock markets from 2000 to 2016 utilizing continuous wavelet transform. The continuous wavelet transform allows us to explore these relationships in the time-frequency domain to capture short- and...

This paper aims to advance empirical knowledge of stock-bonds comovements thanks to the specific context of the pre-1914 French market. This period allows the measurement of the conditional correlation without any inflation thanks to the Gold standard regime. A multivariate Dynamic Conditional...

La volatilité des actions françaises montre une forte instabilité depuis 150 ans. Très faible avant la Première Guerre mondiale, elle augmente de façon continue durant l'entre-deux-guerres. Malgré la paix et la stabilité économique, la volatilité n'a jamais retrouvé ses niveaux...

The paper investigates the role of speculation in the Liverpool cotton futures market between 1921 and 1929. The analysis is based on historical descriptions of the working of speculation in commodity markets and is related to the tenets of behavioural finance. The model posits the existence of...

We offer a closer look at the frequency distribution of nominal price changes in the foreign exchange markets for a sample of 10 European exchange-rate pairs on the basis of a unique quarterly data set spanning 273 years. Our analysis clearly illustrates the risk of seriously underestimating the...

Using 1708-1788 historical data, we test the Austrian hypothesis that fractional-reserve banking destabilizes commodity prices, complicating economic calculation and entrepreneurial planning, and contributes to boom-bust cycles. The Bank of Amsterdam (Wisselbank, 1609-1819) maintained high...

As far as the author’s knowledge, the paper is the first attempt dedicated to understanding the risk and volatility of constituents of the young and rapidly growing Islamic mutual funds’ industry. The novelty of our approach lies in the usage of wavelet tools to high-frequency financial...