A b s t r a c t a r t i c l e i n f o JEL classification: C23 G15 Q43 Keywords: Asymmetric effects International stock markets Oil prices Panel data Oil price volatility Although studies have found an asymmetric pattern in the response of aggregate output to oil price changes, parallel studies in stock markets have not been conclusive about their existence. This paper finds evidence that effect...

Efficiency of stock markets is an essential characteristic to provide fair investment opportunities to all class of investors. It suggests that no investor shall be able to make abnormal gains using any information or by way of analysis. An understanding about the level of efficiency explores avenues for unnatural profits from the stock market. Efficient markets tend to immediately reflect all ...

In this paper, we deal and evaluate the comparison problem among different financial markets using risk/variability measures consistent with investors’ preferences. First, we recall a recent classification of multivariate stochastic orderings consistent with preferences and we properly define the selection problem among different financial markets. Secondly, we propose an empirical financial ap...

This paper examines the Brady bond market of two largest Latin American economies, Mexico and Brazil. Results indicate that stripped yield of each market in the very near future is determined primarily by the past yields in the respective markets. However, over a longer-term horizon the interrelationships between the bond markets and the stock markets of the two countries become important. Futu...

We construct a Pearson correlation-based network and a partial correlationbased network, i.e., two minimum spanning trees (MST-Pearson and MST-Partial), to analyze the correlation structure and evolution of world stock markets. We propose a new method for constructing the MST-Partial. We use daily price indices of 57 stock markets from 2005 to 2014 and find (i) that the distributions of the Pea...

a r t i c l e i n f o JEL classification: F30 G14 G15 Keywords: Hurst exponent Financial crisis Financial contagion Efficiency Stock markets MFDMA algorithm Copula models This study analyzes how the 2008 and 2010 financial crises, which began in the US and Greece respectively, affected the Hurst exponents of index returns of the stock markets of Belgium, France, Greece, Japan, the Netherlands, ...

This paper examines the volatility dynamics of the greater China stock markets (Shanghai Aand Bshares, Shenzhen Aand B-shares, Taiwan, and Hong Kong) by employing a multivariate (tetravariate) framework that incorporates the features of asymmetries, persistence, and time-varying correlations, which are typically observed in stock markets of developed economies. Specifically, we introduce two ne...

The option-pricing problem is always an important part in modern finance. Assuming that the stock diffusion is a constant, some literature has introduced many stock models and given corresponding option pricing formulas within the framework of the uncertainty theory. In this paper, we propose a new stock model with uncertain stock diffusion for uncertain markets. Some option pricing formulas on...