Showing papers in "Journal of International Financial Markets, Institutions and Money in 2014"

TL;DR: In this paper, the authors examined the time-varying correlations between oil prices shocks of different types (supply side, aggregate demand and oil-market specific demand as per Kilian (2009) who highlighted that not all oil shocks are alike) and stock market returns, using a Scalar-BEKK model.

TL;DR: In this article, the authors make use of heteroscedasticity-robust linear Granger causality and nonlinear Granger causal tests to examine the links between the Islamic and global conventional stock markets, and between Islamic stock market and several global economic and financial shocks.

TL;DR: In this article, the authors examined the impact of political uncertainty on the volatility of major stock markets in the MENA region by distinguishing between conventional and Islamic stock market indices and found that these two groups of investments react heterogeneously to the recent political turmoil.

TL;DR: In this paper, the authors examined the relationship between private capital flows and economic growth in Africa during the period 1990-2007 and found that foreign direct investment, foreign equity portfolio investment and private debt flows all have a negative impact on economic growth.

TL;DR: In this paper, the authors examined country specific herding behavior in European liquid constituent indices for the period of 2001-2012 and found evidence that the cross-sectional dispersions of returns can be partly explained by the cross sectional dispersions in other markets, with Germany having the greatest influence on the regional cross-country herding effect.

TL;DR: In this paper, the authors examined the impact of bank revenue diversification on the performance of banks in an emerging economy and found that a shift toward non-interest activities increases bank profits and risk-adjusted profits particularly when banks are more involved in trading in government securities.

TL;DR: This article examined the integration and causality of interdependencies among six major East Asian stock exchanges, while also considering their interactions with the USA before and during the 2007-2009 global financial crisis.

TL;DR: This paper applied cDCC model to compare the dynamic correlations between oil prices and exchange rates of G20 members and found that the significant shifts in the correlations are then endogenously detected.

TL;DR: In this article, the authors employ a panel vector autoregressive model (PVAR) to study the dynamics of the overall exchange rate volatility, which is used in simulating impulse response functions.

TL;DR: In this article, the authors use intraday stock index return data from both sides of the Atlantic during overlapping trading hours to analyze the dynamic interactions between European and US stock markets.

TL;DR: In this article, the determinants of bank competition for 146 countries over the sample period 1999-2011 were investigated and the results employing both the Lerner index and the Boone indicator revealed the distinctive characteristics of the competition drivers across different income groups of countries.

TL;DR: In this article, the authors investigated macro-financial linkages in Egypt using two complementary methods, assessing the interaction between different macroeconomic aggregates and loan portfolio quality in a multivariate framework as well as through a panel vector autoregressive method that controls for bank-level characteristics.

TL;DR: In this paper, the authors extend Kilian's framework to identify an exogenous shock arising from changes in financial market conditions and examine the consequent macroeconomic impacts of oil price changes, finding that a financial shock is a key determinant of oil prices and its macroeconomic impact is as important as the impact of other underlying shocks.

TL;DR: In this paper, the authors employ a regime-switching framework, within which they separate common and idiosyncratic shocks, to assess the suitability of gold, 10-year and 1-year U.S. Treasury bonds.

TL;DR: In this article, the authors investigated whether the South-Eastern European stock markets of Bulgaria, Croatia, Romania, Slovenia and Turkey are integrated with their developed counterparts in Germany, the UK and the USA.

TL;DR: In this paper, the authors examined the time-varying properties of conditional return and volatility of crude oil and US stock markets as well as their dynamic correlations over the period 1988-2013.

TL;DR: In this paper, the authors examined whether the equity premium in the United States can be predicted from a comprehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2-2011:12, using an in sample period of 1990:2 -2000:1.

TL;DR: In this article, the authors examined financial stress co-movements and spillovers among the G7 economies by employing a Financial Stress Index as a proxy variable and accounting for financial instability.

TL;DR: In this paper, the authors test whether the turn-of-the-month (TOM) affects firm returns and firm return volatility differently depending on their sector and size, and find evidence that the TOM affects returns and return volatility of firms.

TL;DR: In this article, the authors investigated the impact of the announcements of PEP applications, withdrawals, rejections, approvals, and completions on the returns of the firms that issue private equity and the factors that influence market reactions to these announcements.

TL;DR: In this article, the authors proposed a methodological improvement to empirical studies of herd behavior based on investor transactions by developing a simple model of trading behavior, and they showed that the traditionally used herding measure produces biased results.

TL;DR: In this paper, the authors examined the dynamics of the financial integration process across equity markets in one global emerging region (Emerging) and three emerging sub-regions (Asia, Eastern Europe, Latin America) over the last two decades.

TL;DR: In this article, the authors investigated how high frequency trading affects technical analysis and market efficiency in the foreign exchange market by using a special adaptive form of the Strongly Typed Genetic Programming (STGP)-based learning algorithm.

TL;DR: In this paper, the authors find that banks with high exposure to off-balance sheet activities are able to insulate their loan supply against a monetary policy shock thus creating a buffering effect on monetary transmission.

TL;DR: The authors analytically found a negative link between stock prices volatility and central bank transparency by applying panel data analysis on a set of 40 countries from 1998 to 2005, using three different measures of stock market volatility.

TL;DR: In this article, the authors used a two-stage frontiers analysis, a DEA and a model combined with bootstrapped tests to show that Spanish savings banks are not less efficient globally than banks and are more efficient socially.

TL;DR: In this paper, the relative efficacy of four well established liquidity measures, namely turnover, proportion of daily zero returns, Amihud (2002) and Liu (2006), in explaining the bid-ask spread plus brokerage costs when powerful and common firm governance mechanisms are taken into account as controls was investigated.

TL;DR: In this paper, the authors examined factor loadings on macroeconomic, market sentiment and other variables that may explain North American investment-grade and high-yield credit default swap indices (CDX) over the period 2003-2011.

TL;DR: In this article, the influence of political uncertainty surrounding the Australian federal election cycle on financial market uncertainty is investigated and their relationship with market uncertainty, as measured by implied volatility, explored.

TL;DR: In this paper, the authors investigated the relationship between sovereign and bank CDS spreads with reference to their ability to convey timely signals on the default risk of European sovereign countries and their banking systems.