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The purpose of this paper is to investigate the global influence of crude and refined oil futures prices on Dow Jones Islamic equity indices (DJIMI) during the recent global financial crisis under structural breaks in the conditional volatility of oil futures prices.

It aims at exploring the long-run and the short-run elasticity and causal relationships using an ARDL bound testing approach and a vector error correction model.

The main findings confirm the presence of long-run relationship for DJIM emerging markets index compared to other global and sub-regional developed indexes. Speed of adjustment to the long-run equilibrium is moderate and the effect of structural breaks, produced from nonlinear volatility model with long memory (LM), is overall not pronounced for that relationship. Short-run causality is bi-directional but long-run Granger causality does not run from refined oil to the DJIMI and crude oil.

The paper demonstrates the implicit extent of international financial integration of Islamic stock markets in light of the global influence of oil prices.

The findings offer some highlights to researchers, portfolio managers and policymakers.

The paper gives an answer to an identified need to test the position of Islamic equity markets as booming Islamic investment and socially responsible investment areas to the global influence of the new soaring path of oil markets. It uses as well bounds testing approach and tests weak and strong causalities under structural breaks. It considers as well LM behavior in oil prices along with the asymmetry property in oil prices.

“It should also be noted that the objective of convergence and equal distribution, including across under-performing areas, can hinder efforts to generate growth. Contrariwise, the objective of competitiveness can exacerbate regional and social inequalities, by targeting efforts on zones of excellence where projects achieve greater returns (dynamic major cities, higher levels of general education, the most advanced projects, infrastructures with the heaviest traffic, and so on). If cohesion policy and the Lisbon Strategy come into conflict, it must be borne in mind that the former, for the moment, is founded on a rather more solid legal foundation than the latter” European Commission (2005, p. 9)Adaptation of Cohesion Policy to the Enlarged Europe and the Lisbon and Gothenburg Objectives.

There is a double crisis in modern science and in particular in physics and mechanics. Among others Einstein and Stephane Lupasco, in the 1930s, warned about this crisis. The Quantum Theory cannot be reconciled with the Relativity Theory. Specifically there is a gap (cleavage) between micro – and macro‐physics and mechanics. Parallel or beneath there is also a second crisis derived from a discontinuity (again a cleavage) between classical and modern science, that is between two previous revolutions. A new research programme of a simultaneous equilibrium versus disequilibrium approach, initially applied in economics has now been extended to include natural sciences. It is the question of a new, more comprehensive methodology which is actually a sui generis synthesis between classical and modern heritage. The rigorous application of the new research programme leads to the organisation of an Orientation Table, that is, a methodological map of all possible combinations (systems). The Table shows, without any exaggeration, a few revolutionary results. For instance, with the help of the Table, modern science or the second revolution (Einstein, Bohr, Heisenberg) does not appear contradictory but rather complementary to classical science or the first revolution (Newton, Lavoisier). The Kuhnian thesis to the contrary is disproved and the second crisis is solved. With the help of the Universal Hypothesis of Duality (the basis of the Orientation Table), matter and energy, at the micro – and macro‐level, appear in a double form (the Principle of Duality): stable (equilibrium) particles and unstable (disequilibrium) waves. The strong interactions from modern physics are associated with the law of gravitation (attraction) or stable equilibrium which governs stable matter and energy. The weak interactions are associated with the law of disgravitation (dispersion or repulsion) including entropy or unstable equilibrium which governs unstable matter and energy. In this way the first crisis is also solved.

On the basis of the time series of the land area economy and marine economy data during 1996-2015, the authors study the relationship between land area economy and marine economy, and divides the relational schema of the land-sea economy by doing causality test of land-sea economy, grey correlation degree analysis and relational schema analysis of the land-sea economy in coastal provinces and cities. The paper aims to discuss these issues.

The paper uses methods such as Granger causality test and grey correlation degree analysis to preliminarily demonstrate the relationship of land-sea economy.

With Granger causality test, we can draw that there is a causal relationship between the land area economy and marine economy. Further with the relational schema analysis, we can draw that the relationship between marine economy and land economy in 11 coastal provinces and cities can be summed up into four kinds of patterns such as land-sea weak type, land-sea strong type, sea strong land weak type and land strong sea weak type.

For the government and related disaster management departments, when policies are made and relevant measures are taken in the process of planning economic layout of land-sea economy, similar policies or measures may be taken for the same type of provinces, in order to improve administrative efficiency.

The development and utilization between land economy and marine economy has a certain contradiction, which must be balanced to realize the balanced development of land economy and marine economy. Therefore, it is necessary to comprehensively assess the grey relational analysis of land-sea economy, in order to provide the basis for reasonable policies.

The cross-quantilogram analysis is employed. The latter can assess the temporal association between two stationary time series at different parts of their joint distribution. Data are daily prices and trading volumes from the futures markets of five agricultural commodities, namely, corn, hard red wheat, oats, rice and soybeans.

The objective to the present work is to investigate for directional predictability between returns and volume (and vice versa) in the futures markets of agricultural commodities.

The empirical results reveal evidence, weak as well as strong, that extreme low values of returns are likely to lead high levels of volume. There is also weak evidence that extreme low values of volume are likely to precede high values of returns, except for the futures markets of oats where there is very strong evidence that low values of volume are likely to lead high values of returns. For the commodity of soybeans, there is very strong evidence that extreme high levels of volume are likely to lead high values of returns, but they are very short lived.

Agricultural futures have been recently characterized by increased volatility leading hedgers to be looking for diversification. The present findings suggest that when price crashes occur, investors who suffer losses wish to sell, increasing this way the trading activity. Concurrently, the results reveal that extreme low levels of trading volume might signal a possible price turn around for traders.

This is the first study that employs the quantilogram approach in order to investigate for potential predictability from returns to volume and from volume to returns, in the futures markets of agricultural commodities.

Attempts to prove, in this second chapter of the author’s monograph, that with a new research programme, it is possible to build a methodological bridge between economics and all other natural sciences and the scientists should address this challenge. Reviews basic principles that govern nature, including Einstein’s findings along with such luminaries as Copernicus, Newton, Galileo and Jeans. Concludes that the future is safe, as a new generation of scientists is now emerging in the East and the West, and that the new methodology should provide enough space for new roads, ideas and interpretations, which may occur in the future. Closes by saying a new spirit should be initiated in economics and transplanted into natural sciences.

The purpose of this paper is to determine cause and effect relationship between foreign direct investment (FDI) and economic growth (gross domestic product (GDP) taken as proxy) for Brazil, Russia, India, China and South Africa (BRICS nations) individually for the period 1992-2013. Also, the study tries to explore the reasons behind the linkage between FDI and GDP by estimating a linear regression model consisting of both macro-economic and institutional variables.

Johansen cointegration technique followed by vector error correction model (VECM) and standard Granger causality test are employed to investigate the causal linkage between FDI and GDP. To delve into the reasons behind this linkage, an ordinary least square (OLS) technique is also applied to test the linear regression model consisting of net FDI inflows as dependent variable and nine macro- economic and institutional variables. Residual diagnostics is also conducted using Breusch-Godfrey Lagrange Multiplier test for diagnosing the problem of serial correlation, Breusch-Pagan-Godfrey test for examining heteroskedasticity and Jarque Bera test for verifying the normality of residuals.

The Johansen cointegration result establishes a single cointegrating vector (long run relationship) between FDI and GDP for India, China and Brazil. After proving a cointegration, VECM results revealed that there exists unidirectional long run causality running from GDP to FDI in case of Brazil, India and China. Also, it is confirmed that there exists short run causality between FDI and GDP in China, i.e. the past lags of FDI jointly impact the value of GDP. However, for Russia and South Africa, where there is no cointegration in the long run, standard Granger causality test is conducted which reveals that in both the nations, FDI and GDP are independent of one another. The results of OLS technique reveal different country-specific factors causing this linkage between FDI inflows and economic growth.

Various researchers in the past have examined this issue of linkage between FDI and GDP in the context of various developing or developed nations. This reveals a gap in the existing literature pertaining to this causal linkage in the context of the BRICS. Thus, this study fills this gap by analyzing not just this causal nexus with the help of VECM and Granger causality techniques but also tries to explore further the reasons for such strong/weak/no link with the help of fitting a regression model which comprises of both macro-economic and institutional country-specific variables influencing this causation.

This paper aims to investigate volatility causality and return contagion on nine international securitized real estate markets by appealing to Markov-switching (MS) regime approach, from July 1992 to June 2014.

An MS causality interaction model (Psaradakis et al., 2005), an MS vector auto-regression mode (Krolzig, 1997) and a multivariate return contagion model (Dungey et al., 2005) were used to implement the empirical investigations.

There exist regime shifts in the volatility causality pattern, with the volatility causality effects more pronounced during high volatility periods. During high volatility period, real estate markets’ causality interactions and inter-linkages contribute to strong spillover effect that leads to extreme volatility. However, there is relatively limited return contagion evidence in the securitized real estate markets examined. As such, the US financial crisis might probably be due to cross-market interdependence rather than contagion.

Because international investors incorporate into their portfolio allocation not only the long-run price relationship but also the short-run market volatility connectedness and return correlation structure, the results of this MS causality and contagion study have provided valuable information on the evaluation of regime-dependent securitized real estate market risk, as well as useful guidance on asset allocation and portfolio management decisions for institutional investors.

Financial crisis is one of the key determinants of cross-market volatility interactions. Portfolio managers should be alerted of the observation that the US and the other developed securitized real estate markets are increasingly sharing “common market cycles” in recent years, thereby diminishing the diversification benefits. For policymakers, this research indicates that the volatilities of the US securitized real estate market could be helpful to predict those of other developed markets. It is also important for them to pay attention to those potential risk factors behind the amplified causality, contagion and volatility spillover at times of crisis. Finally, a wider implication for policymakers is to manage the transmission channels through which global stock market return and volatility shocks can affect the local economies and domestic financial markets, including securitized real estate markets.

Real estate investments have emerged to show low correlation with stocks and bonds and contributed to portfolio optimization. With real estate that can serve as a type of consumption commodity and an investment tool, the risk-return profile of real estate is different from that of the underlying stock markets. Therefore, the performance and investment dynamics and real estate-stock link are not theoretically expected to be similar, that requires separate empirical investigations. This paper aims to stand out from the many papers on the same or similar topics in the application of the three MS methodologies to regime-dependent real estate market integration.

This paper examines the causal relationship between stock market performance and foreign exchange market in Egypt over the period 2009–2016. The study period is divided into two sub-periods: pre- and post-January 25th Egyptian revolution (ER). The reason is to examine how this revolution affects the causal relationship between the two markets' performance.

In this study, the daily basis data are used to enable good and effective observation changes in the foreign exchange rate and stock market performance over time. Stock market indexes and stock market capitalization are used as proxies for stock market performance. Further, the Egyptian pound to US$ exchange rate is used as a measure for foreign exchange market performance. The study analysis is done in stages. The first is to check the variables' stationarity for the pre- and post-revaluation. The second is to examine the cointegration among the variables. The third is to run vector autoregression (VAR) estimates, after which VAR Granger causality tests are employed.

The results show that the data are not stationary at their levels but stationary in their first difference level while there is no cointegration in the long-run among the variables in both sub-periods. Further, findings indicate that, in the pre-January 25th revolution period, there is a significant causal relationship between the foreign exchange market and stock market indexes and a significant causal relationship between market capitalization (CAP) and exchange rate at the 1% level. However, in the post-January 25th revolution period, the study does not find a significant causal relationship between foreign exchange market and stock market indexes and capitalization.

As this study focuses on the causal relationship between foreign exchange and stock markets before and after the 25th January Revolution, other macroeconomic variables such as consumer price index, interest rate and GDP were excluded for the comparison purposes with other studies. Further research is suggested to include them in the analysis to find out its effect on the performance of stock market and foreign exchange market.

The existence of long-run bidirectional causality means that portfolio managers and hedgers may have improved their understanding regarding the dynamic relationship between foreign exchange market and stock market performance as this may help them to plan and implement suitable hedging strategies to guard against currency risk in future crises or events. Investors, fund and portfolio managers and policymakers should give much attention to these event-specific interactions when they make capital budgeting decisions and implement regulation policies. Furthermore, our results may allow portfolio managers, investors and policymakers to assess the importance of informational efficiency for both markets.

This paper is an original contribution to the literature that concerns the causal relationship between stock market and foreign exchange market in the period of political instability and social unrest such as the January 25th Revolution in one of the emerging markets, namely Egypt.