Articles and Issues
Contagion Effect between Commodities and Cryptocurrencies
This paper examines cryptocurrencies in terms of their diversifier, safe haven and/or hedge properties, while simultaneously testing the existence of contagion and…
The Hidden Fragility of Large Banks: Asymmetric Connectedness and Systemic Risk
This study investigates whether volatility spillovers among systemically important banks exhibit fundamental asymmetry between positive and negative market shocks. Using daily returns…
ECB Monetary Policy Communication: An Event Study on Intraday Returns and Volatility in the EUR/USD FX Market
We ask whether ECB communication outside monetary policy meeting days moves the EUR/USD exchange rate within minutes in the unconventional and low-rate…
CEO Social Capital and Corporate Cash Holdings
There is extensive research documenting the effect of CEO physical and psychological attributes on corporate cash management; little is known about the…
What Drives the Profitability of Reversals in South Asian Emerging Markets? A Multilevel Approach to Firm, Industry, and Macroeconomic Factors
The aim of this study is to examine whether macro-economic indicators, industry factors and firm-specific factors tend to predict returns to contrarian…
Momentum and Disposition Effect in Different Market States
This study examines the relationship between momentum profits and the disposition effect across different market states, bridging two literature strands explaining momentum…
Forecasting Bitcoin Prices Movements: Memory, Path Dependence and Persistence
Being able to predict changes in Bitcoin prices is purportedly a boon for risky investors, more so, if the forecasts are largely…
The Dynamic Relationship between China’s Carbon Emission Trading Market and Chinese Stock Market Sectors
Abstract This study aims to explore the dynamic relationship and transmission mechanism between China’s carbon emission trading market (CEA) and key industry…