This article investigates return and volatility spillover effects between Dubai Financial Market (DFM) and Abu Dhabi Stock Exchange (ADSE) using two methodologies: A simple asymmetric Vector Autoregressive-Baba, Engle, Kraft, Kroner (VAR-BEKK) framework introduced by Kroner and Ng (1998), and an...

This study is aimed mainly to examine the possible existence of a relationship between the nominal interest rate and the inflation rate in developing countries (Argentina, Brazil, Malaysia, Mexico, Korea and Turkey) coming up from a common nonlinear trend between both series. Evidence is first...

This study examines the dynamic linkages between crude oil price shocks and stock market returns in 22 emerging economies. The vector autoregression (VAR) analysis is carried on daily data for the period spanned from January 1, 1998 to April 31, 2004. This study utilized the generalized approach...