Momentum and nonlinear price discovery in sovereign credit risk and equity markets of the organization of Islamic cooperation (OIC) countries

• Main Authors: Ngene, Geoffrey, M. Kabir Hassan,
• Format: Article
• Language: English
• Published: Penerbit Universiti Kebangsaan Malaysia 2012
• Online Access: http://journalarticle.ukm.my/6348/1/jeko_47-1.pdf; http://journalarticle.ukm.my/6348/; http://www.ukm.my/fep/jem/content/2012-2.html

This paper hypothesized that there is a differential response by agents to changes in sovereign credit risk in both calm (low default risk) and turbulent (high default risk) markets. These market conditions create two different states of the world or regimes. The two model regimes have been made u...