The paper investigates the time-varying correlation between stock market prices and oil prices for oil-importing and oil-exporting countries. A DCC-GARCH-GJR approach is

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This study examines the determinants of bank profitability in China over the period [2003][2004][2005][2006][2007][2008][2009]. The determinants are divided into three groups: bank-specific, industryspecific and macroeconomic variables. The two-step General Method of Moments (GMM) system estimator is used. The results show that there is a positive relationship between bank profitability, cost efficiency, banking sector development, stock market development and inflation. We report that low profitability can be explained by higher volume of non-traditional activity and higher taxation. Moreover, we confirm that there is a competitive environment in Chinese banking industry. Furthermore, we propose policy actions that should be taken to improve bank profitability in China.2

This article examines the effect of GDP growth on bank profitability in China over the period [2003][2004][2005][2006][2007][2008][2009]. The one-step system GMM estimator is used to test the persistence of profitability in Chinese banking industry. The empirical findings suggest that cost efficiency is positively related to bank profitability, while lower profitability can also be explained by higher taxes paid by banks. In addition, there is a negative relationship between GDP growth and bank profitability. Furthermore, the results show that (1) the profitability in Chinese banking industry is significantly affected by the level of non-performing loans, and (2) Chinese banks with higher level of capital have lower profitability. Finally, we find that the departure from a perfect competitive market structure in Chinese banking industry is relatively small.

Purpose-This study aims to test the impacts of risk-taking behaviour, competition and cost efficiency on bank profitability in China.Design/methodology/approach-We use a two-step Generalized Method of Moments (GMM) system estimator to examine the impacts of risk, competition and cost efficiency on profitability of a sample of Chinese commercial banks over the period 2003-2013. Findings-We find that credit risk, liquidity risk, capital risk, security risk and insolvency risk significantly influence the profitability of Chinese commercial banks. To be more specific, credit risk is significantly and negatively related to bank profitability; liquidity risk is significantly and positively related to Return on Assets (ROA) and Net Interest Margin (NIM) but negatively related to Return on Equity (ROE); capital risk has a significant and negative impact on ROA and Net Interest Margin (NIM) but positive impact on ROE; there is a significant and negative impact of security risk on bank profitability (ROA and NIM). It is found that Chinese commercial banks with higher levels of insolvency risk have higher profitability (ROA and ROE). Finally, higher competition leads to lower profitability in the Chinese banking industry and Chinese commercial banks with higher levels of cost efficiency have lower ROA. In other words, Structure-Conduct-Performance paradigm rather than Efficient-structure paradigm holds in the Chinese banking industry.Originality/value-This is the first paper to investigate the impact of different types of risk, including credit risk, liquidity risk, capital risk, security risk and insolvency risk, on bank profitability. This is the first study which uses more accurate measurements of efficiency and competition compared to previous Chinese banking profitability literature and which tests their impact on bank profitability. Our findings not only provide a general picture on the risk, efficiency and competition conditions in the Chinese banking industry, but also give valuable information to the Chinese government and to the banking regulatory authorities to make relevant policies.

The time-varying correlation between oil prices returns and European industrial sector indices returns, considering the origin of the oil price shock, is investigated. A time-varying multivariate heteroskedastic framework is employed to test the above hypothesis based on data from 10 European sectors. The contemporaneous correlations suggest that the relationship between sector indices and oil prices change over time and they are industry specific. In addition, the supply-side oil price shocks result in low to moderate positive correlation levels, the precautionary demand oil price shocks lead to almost zero correlation levels, whereas the aggregate demand oil price shocks generate significant changes in the correlation levels (either positive or negative). Both the origin of the oil price shock and the type of industry are important determinants of the correlation level between industrial sectors' returns and oil prices. Prominent among the results is the fact that during the financial crisis of 2008 some sectors were providing diversification opportunities to investors dealing with the crude oil market.JEL: C32, C51, G1, Q4.

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Purpose -The paper aims to investigate the monthly and trading month effects in the stock market returns of the ASE using daily data before and after the crisis of 1999-2001. In addition, the study seeks to consider data from both periods of the ASE, before and after the upgrade of the market (May 2001). Design/methodology/approach -This paper examines the calendar effects in the Greek stock market returns using an ordinary least squares (OLS) model. Daily closing prices of the General ASE Index, FTSE/ASE-20 and FTSE/ASE Mid 40 are used to calculate daily returns. The time period includes data from