This article attempts to characterize the pattern of information flows between the stock markets by determining mean and variance causal relationships. A two-step procedure proposed by Cheung and Ng (1996) is used. Stock market returns are specified as Autoregressive-Generalized Autoregressive...

The purpose of this paper is to estimate transaction costs on the Tunisian Stock Exchange (TSE). We will use the methodology proposed by Lesmond, Ogden and Trzcinka (1999). Our study is done on an order-driven market whether the Lesmond and al. study was done on a quote-driven market.The data is...

Purpose: This paper aims to examine the frequency of co-movements and asymmetric dependencies between bitcoin (BTC), gold, Brent crude oil and the US economic policy uncertainty (EPU) index. Design/methodology/approach: The authors use a wavelet approach and a quantile-on-quantile regression...

This paper employs a VAR-GARCH model to investigate the return links and volatility transmission between the S&P 500 and commodity price indices for energy, food, gold and beverages over the turbulent period from 2000-2011. Understanding the price behavior of commodity prices and the volatility...

This paper employs a VAR-GARCH model to investigate the return links and volatility transmission between the S&P 500 and commodity price indices for energy, food, gold and beverages over the turbulent period from 2000-2011. Understanding the price behavior of commodity prices and the volatility...