In this paper, we test the hypothesis of contagion in the subprime mortgage crisis by applying the theory of copulas to measure the contagion among a sample of eight emerging and eight developed markets. The empirical results show that this new approach proves more appropriate to describe the non-linear and complex dynamics of the financial market returns than traditional modeling which imply a normality hypothesis. In addition, this study confirms the contagious nature of the crisis between emerging and developed markets.

The purpose of this paper is to shed light on the impact of the rising terrorist threat on the performance of a small capitalization market – the Tunisian stock market-. Using an event study methodology as well as conditional volatility, we investigate the impact of recent terrorist attacks in Tunisia on the general index TUNINDEX and sector indices. Our main findings are as follows. First, we find that terrorist attacks negatively affect the Tunisian stock market. However, the decline – considerable in certain cases- is short-lived: the market recovers from terrorist shocks in one day. Second, Oil and Gas, Insurance and Telecommunications, are the most affected sectors. Third, different terrorist tactics have varied effects on the stock market that leads us to conclude that attack type, weapon type, target type, and severity of the attack may determine the market’s reactions.

This study examines a sample of 143 French companies placed on the stock market over the period 2006-2010. Our cross-sectional analysis shows that it is essential to separate the initial return into pre-market deliberate underpricing and aftermarket overpricing. Our work contradicts, in part, previous studies in that the initial returns established, during the listing period, can explain not only IPO underpricing, but also overpricing. In other words, the listing price reflects the private information collected during the process of going public and, partially, public information (stock market behaviour) known at the time of the offer.