The study of volatility transmission across markets commonly termed 'volatility spillover' provides useful insights into how information disseminates across markets. Research results in this area have useful implications for issues such as international or regional diversification and market...

Using time-varying systematic risk model, the paper estimates risk in a number of stock markets in the Gulf Cooperation Council (GCC) countries, including Saudi, Kuwait, Dubai and Abu-Dhabi markets. The results in the paper indicate that Saudi market is the most perilous in the group, as it...

This paper investigates common cyclical feature between crude oil market and stock markets in major oil-exporting countries including Saudi Arabia, United Arab Emirates (UAE) and Kuwait. The results of the paper show the evidence of common cyclical association between oil price and each of the...

Given the change in oil price reflects change in observable economic fundamentals of Gulf Co-operation Council (GCC) economies, in this paper non-parametric co-integration and variance bound tests are employed to decompose volatility into fundamental and non-fundamental components. Findings of...

Due to restrictive foreign exchange policy and active parallel markets for foreign exchange in some developing countries, it is often believed that the real official exchange rate is undervalued (overvaluing the domestic currency). Since an overvalued domestic currency depress official current...

This paper investigate conditions under which equity funds can be sustainable source of budget deficit financing in an interest free economy. Our findings show equity fund can be sustainable source of deficit financing when the rate of return on equity fund exceeds the budget deficit expansion...

This paper aims to analyse the dynamics of foreign exchange markets in a country facing political uncertainty that prompt capital outflow from the country. The economic environment under investigation is characterized by dual foreign exchange markets: a formal or official market for foreign...

This paper aims to assess the level of departure of the actual black market rate from its real level. Our finding indicate divergence of the actual black market rate from the real level, ranging from 7% in October 2016 to about 38% in November 2017. This result imply 38% of the foreign exchange...

To assess the size of gold smuggling in Sudan we estimated scale inefficiency of operating mines in the country using primary data survey covering about 18 artisanal mines during the year 2016. The output variable represent gold production of each state and the inputs represent the water mills,...