Sarosh Shabi

Swansea University | SWAN · School of Management

The performance of the housing market is currently considered a measure of economic activity. This research explores the connectedness vs. the ripple effect hypothesis in the current house pricing literature. Using linear causality and nonlinear causality tests we show significant bidirectional dependence between the London house prices and other U...

This paper investigates the impact of the U.S. economic uncertainty on the business cycles (changes in the industrial production) of 12 European Union (EU) countries before and during the global financial crisis. Empirical tests are conducted using the linear and non‐linear causality tests, impulse response function, and variance decomposition. Res...

This paper investigates the impact of the US economic uncertainty on the business cycles (changes in the industrial production) of 12 European Union (EU) countries before and during the global financial crisis. Empirical tests are conducted using the linear and nonlinear causality tests, impulse response function, and variance decomposition. Result...

This paper investigates the relationship between stock market volatility and the business cycle in four major economies, namely the US, Canada, Japan and the UK. We employ both linear and nonlinear bivariate causality tests and we further conduct a multivariate analysis to explore possible spillover effects across countries. Our results suggest tha...

This paper investigates the nonlinear dynamic co-movements between gold returns, stock market returns and stock market volatility during the recent global financial crisis for the UK (FTSE 100), the US (S&P 500) and Japan (Nikkei 225). Initially, the bivariate dynamic relationships between i) gold returns and stock market returns and ii) gold retur...

The relationship between stock market volatility and the business cycle is macrofinancial as it links the fields of financial markets and macro-economics. This relationship links to theories of rational expectations/efficient market hypotheses and asset pricing theory. This thesis investigates the long run relationship between stock market volatili...