Using a multivariate generalized autoregressive conditional heteroskedasticity (GARCH-M) model, we investigate volatility spillovers in six Southeast Asian stock markets around the time of the 1997 Asian crisis. We focus on interactions with the U.S. market as a world financial market, and with the Japanese market as a regional financial market. We also use bivariate GARCH-M models to examine t...

â â â  â â â â â  the main purpose of present study is to analyze the relationship between stock and exchange markets in two asian countries, iran and south korea. a monthly time series of stock price and exchange rate are used over the period 2002: 05 - 2012: 03. the data is collected from the central bank of each country and wdi. the calculated stock return and real exchange rate change are u...

The sourcing of low-cost finance to facilitate corporate expansion on competitive terms is a major challenge to firms from emerging markets. There are additional constraints in Islamic markets as financial instruments must adhere to shari’ya law. This paper examines the approach taken by the Sudan Telecommunications Company (Sudatel) to obtain cost effective equity financing using secondary lis...

On the Croatian stock market liquidity has never been in the focus of academic research. thus we find it necessary to observe liquidity at the aggregate level. This paper observes multi-dimensional liquidity through the impact of turnover on price change together with several one-dimensional measures. In our empirical research we applythe illiquidity measureto seven different stock markets. We ...

the process of economic globalization and integration has had a tremendous growth in recent years and the convergence of various economic sectors, including the financial markets is increasingly in the spotlight. this increasing trend has strengthened investors' interests in the subject of convergence among the world's stock markets and investors experimentally show a passion for unde...

This paper determines the most affected stock market by COVID-19 among GCC markets and extracts factors that increase this effect. Recommendations from analytics results are studied, which can mitigate financial impacts taking proper actions to reduce them. Despite taken countries worldwide prevent spread of COVID-19, effects still unidentified. Recently, caused a decline in indicators because ...

The interaction of BRICS stock markets with the United States is studied using an asymmetric Granger causality test based on the frequency domain. This type of analysis allows for both positive and negative shocks over different horizons. There is a clear bivariate causality that runs both ways between the United States stock market and the respective BRICS markets. In addition, both negative a...

this paper investigates the nature of volatility characteristics of stock returns in the bangladesh stock markets employing daily all share price index return data of dhaka stock exchange (dse) and chittagong stock exchange (cse) from 02 january 1993 to 27 january 2013 and 01 january 2004 to 20 august 2015 respectively.  furthermore, the study explores the adequate volatility model for the stoc...

The effects of the introduction of the euro were expected not only on the real convergence of economies but also on stock markets. This paper compares the dynamics and synchronization of stock markets regimes in European markets before and after the launch of the euro. The results show that countries of the euro zone have different dynamics concerning the switching between bull and bear markets...