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Article
Publication date: 31 October 2008

Duc Khuong Nguyen and Mondher Bellalah

This paper aims to empirically reexamine the dynamic changes in emerging market volatility around stock market liberalization.

Abstract

Purpose

This paper aims to empirically reexamine the dynamic changes in emerging market volatility around stock market liberalization.

Design/methodology/approach

First, a bivariate GARCH‐M model which counts for partial market integration is developed for modeling stock market volatility in emerging market countries. Second, the Bai and Perron stability test in a linear framework and a pooled time‐series cross‐section model were employed to examine the empirical relationship between stock market liberalization and volatility.

Findings

Structural breaks detected in emerging market volatility series did not take place at the time of official liberalization dates, but they rather coincide with alternative events of liberalization process. The effects of official liberalization on return volatility are on average insignificant. The stock return volatility is however lowered when the participation of the US investors becomes effective and important on emerging markets, and when emerging markets increase in size.

Research limitations/implications

The study assumes a static degree of market integration. Future research should extend our model by using a time‐varying measure of market integration.

Practical implications

Policymakers in frontier markets should open up local stock markets to attract foreign investments and to allow local firms to benefit from international risk sharing. Also, the gradual embankment of market‐liberalization is necessary to gain investors' confidence and to prevent the harmful effects of foreign capital flows.

Originality/value

The consideration of alternative events of liberalization process and the use of a powerful stability test to examine the time‐series properties of conditional volatilities.

Details

Review of Accounting and Finance, vol. 7 no. 4
Type: Research Article
ISSN: 1475-7702

Keywords

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Article
Publication date: 9 August 2011

Fredj Jawadi and Mondher Bellalah

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…

Abstract

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 efficiency hypothesis for oil markets while testing for whether oil price dynamics depend on stock market fluctuations or not.

Design/methodology/approach

Using nonlinear econometric modeling, this paper investigates the oil market adjustment dynamics for four developed and emerging countries: France, the USA, Mexico and the Philippines. Our findings show strong evidence of significant linkages between oil and stock markets for all the countries under consideration.

Findings

As in Jawadi et al. who focus on stock price dynamics regarding oil price, the findings of this present paper, which focuses more on the oil industry, also point to an asymmetrical mean‐reversion between oil and stock markets that occurs in a nonlinear manner. They reject the informational efficiency hypothesis for oil markets. Indeed, while the previous literature often highlights the stock markets' dependence on the oil industry, this study contributes to the literature by concluding in favor of significant feedback from stock to oil markets, which is not compatible with the efficiency principle according to Fama.

Research limitations/implications

This paper develops a new nonlinear framework that should improve the investigation of oil‐stock market linkages. Future research could check the forecasting properties of this model to forecast the future dynamics of oil prices.

Originality/value

This paper adds to the literature by suggesting that it is not only oil shocks that affect stock markets, but that the latter also have a strong nonlinear impact on oil markets, reducing the diversification benefits of oil‐stock portfolios.

Details

Review of Accounting and Finance, vol. 10 no. 3
Type: Research Article
ISSN: 1475-7702

Keywords

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Article
Publication date: 3 August 2012

Catherine Soke Fun Ho, Omar Masood, Asma Abdul Rehman and Mondher Bellalah

The purpose of this paper is to focus on the syariah compliant screening methods that are practiced by prominent Islamic finance users, in terms of qualitative and…

Abstract

Purpose

The purpose of this paper is to focus on the syariah compliant screening methods that are practiced by prominent Islamic finance users, in terms of qualitative and quantitative screening.

Design/methodology/approach

This research uses comparative analysis to recognize the similarities and differences of methods among 15 users.

Findings

Analysis reveals that there is a need to set the universal standards, not only for the investors but also to discourage the misunderstanding between investors and scholars. After analysis of qualitative and quantitative screening, recommendations for both methods have been made for the shariah compliant board and users.

Originality/value

The paper is useful for Islamic finance users, as well from the academic point of view and is new and unique in its nature.

Details

Qualitative Research in Financial Markets, vol. 4 no. 2/3
Type: Research Article
ISSN: 1755-4179

Keywords

Content available
Article
Publication date: 21 November 2014

Abstract

Details

The Journal of Risk Finance, vol. 15 no. 5
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 1 February 2002

PATRICE PONCET and VICTOR E. VAUGIRARD

In this article, the authors develop an arbitrage approach to valuing insurance‐linked securities (ILS) for non‐catastrophic events within a framework of stochastic…

Abstract

In this article, the authors develop an arbitrage approach to valuing insurance‐linked securities (ILS) for non‐catastrophic events within a framework of stochastic interest rates. The prices of these transactions are driven by both an interest rate process and a non‐trivial actuarial risk process. The authors find that the duration of ILS is, in most cases, higher than the Macaulay duration of risk‐free bonds, which implies that the alleged relative out‐performance of ILS is illusory.

Details

The Journal of Risk Finance, vol. 3 no. 3
Type: Research Article
ISSN: 1526-5943

Abstract

Details

International Journal of Emerging Markets, vol. 14 no. 4
Type: Research Article
ISSN: 1746-8809

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