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ESG index performance: European evidence
ESG investing and its financial performance is nowadays a hot topic luring the attention of all economic agents. All developed financial markets...
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The sovereign Credit Default Swap Spreads and Chinese Sectors Stock Market: A Causality in Quantile and Dependence Analysis
This study established the direction, magnitude, and duration of the causality between CDS and selected Chinese stock sector at industry level. A...
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Identifying Cryptocurrencies as Diversifying Assets and Safe Haven in the Indian Stock Market
This study investigates the interconnectedness between cryptocurrency and the Indian stock market and explores the diversification, hedge, and safe...
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Herding behavior in stock markets of oil-importing and oil-exporting countries: the role of oil price
This study investigates the asymmetric effect of oil price on herding behavior in three oil-exporting (Saudi Arabia, Canada, and Russia) and three...
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Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components
Using a flexible statistical framework that accounts for time-varying skewness and leptokurtosis, we examine the stochastic behavior of Bitcoin in...
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Commodity cycles and financial instability in emerging economies
Commodity-exporting economies display procyclicality with the price of commodity exports. However, the evidence for the relative importance of...
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The Impact of Market Uncertainty on the Systematic Risk of Clean Energy Stocks
As investing in clean energy equities grows, a better understanding of the impact of market uncertainty on clean energy systematic risk is required...
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Trading Tactics in the Financial Market Mathematical Methods to Improve Performance
Financial markets are not predictable, let alone controllable. The one thing traders and investors can control is their trading tactics, where some...
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Adaptive order flow forecasting with multiplicative error models
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day...
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Nowcasting bitcoin’s crash risk with order imbalance
The spectacular nature of bitcoin price crashes baffles market spectators and prompts routine warnings from regulators cautioning that...
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Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19
Documenting the interlinkages among assets that are widely used to hedge against inflation is crucial for investors, as the necessity to protect the...
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Dependence structure of CAT bonds and portfolio diversification: a copula-GARCH approach
This paper analyzes advantages of investing in catastrophe bonds (CATs) in terms of portfolio diversification. Indeed, the increase in environmental...
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Core-satellite investing with commodity futures momentum
Core-satellite strategies are often implemented to combine the benefits of passive and active investing. Our study analyzes a particularly attractive...
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Latin and Caribbean America on the Way to Its Second Independence: Monetary Lessons from a Region in Rebellion
Today, we are very far from that time when the leadership of the Cuban revolution sought a way to abolish money, as some of the Bolshevik economists...
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The relation between earnings and price momentum: Does it vary across regimes?
This paper investigates the time-varying relationship between earnings momentum and price momentum. Using a Markov-switching framework, allowing for...
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The value of expected return persistence
This work utilizes the fractional Black–Scholes model to estimate the option-implied Hurst exponents, interpreted as forward-looking expectations of...
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Asymmetric volume volatility causality in dual listing H-shares
Using Granger causality test, we investigate the lead-lag relation between volume and volatility in 14 Chinese ADRs and those of their underlying...
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Minimum Connectedness Portfolios and the Market for Green Bonds: Advocating Socially Responsible Investment (SRI) Activity
Socially responsible investing (SRI) such as issuing green bonds is increasingly widely adopted, moving into mainstream investment activity. In this...
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Frontier Markets, Liberalization and Informational Efficiency: Evidence from Vietnam
This paper examines the equity market opening in Vietnam, a frontier market that has taken gradual steps of relaxing capital control, by analysing...
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Estimating volatility clustering and variance risk premium effects on bank default indicators
Default risk increases substantially during financial stress times due to mainly the two reasons: volatility clustering and investors’ desire to...
