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

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.

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.

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

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.

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.

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.

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.

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.

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.

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.

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.

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

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.

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

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.