In this paper, cointegration relationships among 26 global stock market indices over the
periods of sub-prime and European debt crisis and their influence rank are investigated by …

This study explores the time-varying linkages among gold, stocks (large-cap, mid-cap and
small-cap), bonds (corporate, T-Bond and T-Bill), and real estate, in order to evaluate the …

This study analyzes the long-run and short-run effects of the US economy as proxied by the
US GDP, on the stock, bond and housing markets of the US and six major developed …

Purpose–The purpose of this paper is to examine whether there exist significant benefits
from diversification into frontier markets for an Australian investor in comparison to a US …

This study evaluates the degree of convergence among the housing markets of 10 major
economies across North America, Europe and Asia. Long-run results indicate that the …

Energy futures have become important as alternative investment assets to minimize the
volatility of portfolio return, owing to their low links with traditional financial markets. In order …

This study analyses the impact of the 2007–2008 US financial crisis on the structure of
interdependence among several major global real estate and equity markets. Moreover, it …

This study explores the dynamic nature of linkages among seven key real estate sectors
which include residential, health, lodging-resort, storage, office, retail and industrial. Long …

This study explores the co‐movement among oil and the stock, bond, and housing markets
of the US and major developed countries across Europe and Asia. The results indicate that …

Statistical Arbitrage (SA) is a common financial term. However, there is no common
definition in the literature while investors use the expression SA for a variety of different …