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...

This paper examines long and short-run relationships among three emerging Balkan stock markets (Romania, Bulgaria and Croatia), two developed European stock markets (Germany and Greece) and United States (U.S.), during the period 2000 - 2005. We apply Johansen's (1988) cointegration methodology...

This paper investigates the contagion effects of the Global Financial Crisis (2007–2009) by examining ten sectors in six developed and emerging regions during different phases of the crisis. The analysis tests different channels of financial contagion across regions and real economy sectors by...

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...

Although airports contribute to region's economic development, they have a negative impact on the environment and on the communities around them. Environmental impacts such as noise, air and water pollution, and natural resources consumption are some of the implications resulting from the...

This paper empirically investigates the contagion effects of the Global Financial Crisis (2007-2009) from the financial sector to the real economy by examining nine sectors of US and developed European region. We provide a regional analysis by testing stock market contagion on the aggregate...

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...

This paper investigates the interdependence of US dollar exchange rates expressed in other major currencies. Focusing on different phases of the Global financial crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC), we adopt a dynamic conditional correlation model into a multivariate...