A major issue in both Islamic finance and conventional finance is whether the shocks to the
volatilities in the asset returns are substitutes or complements in terms of taking risk. An …

The purpose of this paper is to study the dependence structures between the Chinese
market and other major world markets, a reflection of China's increasing integration into the …

Time series techniques of cointegration were used over the period spanning from February
15, 2006 to December 31, 2008. In order to explore changes in the stock market integration …

This study re-examines the integration among five selected ASEAN emerging stock markets
(Malaysia, Thailand, Indonesia, the Philippines and Singapore) based on Autoregressive …

This paper examines the effect of US monetary policy, oil price and gold price on stock
indices of BRICS countries. Vector Auto Regression model is applied to study the stock …

Purpose–The purpose of this paper is to re‐examine the stock market integration and short‐
run dynamic interactions between the Malaysian stock market and the stock markets of its …

The aim of this paper is to examine the impact of US macroeconomic conditions—namely,
exchange rate and short-term interest rate—on the stock markets of seven Asian countries …

This paper identifies robust determinants of US stock price movements in the economic
shadow of the COVID-19 crisis and in the presence of model uncertainty, using several …

The study aims to contribute to the better understanding of potential diversification benefits
for US and its major trading partners, namely Canada, Japan, and the UK, across both …

Exploring the risk spillover between Chinese and mature stock markets is a promising topic.
In this study, we propose a Markov-switching mixed-Clayton (Ms-M-Clayton) copula model …