Purpose – While price studies such as Jawadi et al. generally focus on the relationships between oil and stock markets through the study of oil price on stock markets, this paper takes a different perspective to the linkages between oil and stock markets. This study sets out to investigate the...

This article aims to explore the most important sources and implications of the current international financial downturn, while analyzing and discussing a recently published book on finance by Professor Michel Aglietta, written in 2008, in which the author expands on the sources of the current...

Given limited research on monetary policy rules in emerging markets, this paper estimates monetary policy rules for five key emerging market economies: Brazil, Russia, India, China and South Africa (BRICS) analysing whether the monetary authority reacts to changes in financial markets, in...

This paper assesses the macroeconomic impact of fiscal policy shocks for four key emerging market economies - Brazil, Russia, India and China (BRICs) – using a Bayesian Structural Vector Auto-Regressive (BSVAR) approach, a Sign-Restrictions Vector Auto-Regressive framework and a Panel Vector...

The aim of this paper is to study the oil price adjustment dynamics and to implicitly test the efficiency hypothesis for the oil market. Thus, we propose to study the oil price evolution in a nonlinear framework while testing the interdependence hypothesis between oil and stock markets. Four...

The subprime crisis, which proved devastating for the hedge fund industry, induced significant losses for investors who ploughed into absolute return funds. In such a context, investigating the opacity surrounding the hedge fund industry and its prohibitive fee structure is of real interest as,...

This article aims to study stock price adjustments towards fundamentals due to the existence of arbitrage costs defined as the sum of transaction costs and a risky arbitrage premium associated with the uncertainty characterizing the fundamentals. Accordingly, it is shown that a two regime Smooth...

This article studies the efficiency of the aluminium market based on contracts traded on the London Metal Exchange (LME) over the last 3 decades. We test for both short- and long-run efficiency using nonlinear cointegration and Error Correction Models (ECM). Our findings suggest the following...

This article investigates the short-term dynamics of public debts in the United States and the United Kingdom over more than four decades. We check for structural changes in the data and assess nonlinearity and switching-regime hypotheses using several linearity tests. Our findings point to...