We provide comprehensive evidence on the relationship between oil prices and stock mar-kets for six GCC countries. Unlike previous contributions, a wide range of modern econo-metric techniques are applied in order to: i) capture both short- and long-term interactions between considered markets;...

This article contributes to the related literature by empirically investigating the efficiency of nine energy and precious metal markets over the last decades, employing several pronounced models. We test for both the short- and the long-run efficiency using, in addition to linear cointegration...

We investigate the potential of structural changes and long memory (LM) properties in returns and volatility of the four major precious metal commodities traded on the COMEX markets (gold, silver, platinum and palladium). Broadly speaking, a random variable is said to exhibit long memory...

Cet article étudie l'évolution et les effets incitatifs des stock-options attribuées aux dirigeants de dix-huit entreprises du CAC40 entre 1994 et 2003. Une base de données portant sur 184 plans d'attribution de stock-options par ces entreprises est utilisée afin de suivre l'évolution et...

This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the CAPM with segmentation effects. Second, we study the structural breaks...

We analyze the time-variations of conditional correlations between selected Latin American emerging markets and between them and the World stock market to further shed light on the issues of capital market integration and portfolio diversification. The cross-market correlations are empirically...

This paper examines the short-run relationships between oil prices and GCC stock markets. Since GCC countries are major world energy market players, their stock markets may be susceptible to oil price shocks. To account for the fact that stock markets may respond nonlinearly to oil price shocks,...

Ce travail utilise les techniques récentes de cointegration en panel et la méthode d'estimation SUR pour tester l'existence d'une relation de long terme entre le prix du pétrole et le cours des actions dans les pays du Conseil de Coopération du Golfe (CCG). Ces pays étant des acteurs...

In this article, we investigate the hypothesis of efficiency of central bank intervention policies within the current global financial crisis. We firstly discuss the major existing interventions of central banks around the world to improve liquidity, restore investor confidence and avoid a...

This paper investigates whether structural breaks and long memory are relevant features in modeling and forecasting the conditional volatility of oil spot and futures prices using three GARCH-type models, i.e., linear GARCH, GARCH with structural breaks and FIGARCH. By relying on a modified...