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Notes, Comments and Preliminary results |
| Apr 09 2021 |
Claudiu T Albulescu , Michel Mina and Cornel Oros |
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Oil-US Stock Market Nexus: Some insights about the New Coronavirus Crisis |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Mar 10 2021 |
Masao Kumamoto and Juanjuan Zhuo |
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Hedge and safe haven status of Bitcoin: copula-DCC approach |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 23 2020 |
Juanjuan Zhuo and Masao Kumamoto |
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Stock market reactions to COVID-19 and containment policies: A panel VAR approach |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 30 2020 |
Soonho Kim |
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Effect of Short Selling on Market Liquidity, Price, and Volatility: A Dynamic Perspective |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 25 2020 |
Andreas Humpe and David McMillan |
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The Covid-19 stock market puzzle and money supply in the US |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 08 2020 |
Bruno Thiago Tomio |
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Carry trade in developing and developed countries: A Granger causality analysis with the Toda-Yamamoto approach |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Aug 08 2020 |
Kais Tissaoui , Taha Zaghdoudi and Khaled issa Alfreahat |
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Can intraday public information explain Bitcoin Returns and Volatility? A PGARCH-Based Approach. |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jun 07 2020 |
Garry L. Shelley , Anca Traian and William J. Trainor Jr. |
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Stock market "prediction" models |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 19 2020 |
Ilyes Abid , Abderrazak Dhaoui , Khaled Guesmi and Olfa Kaabia |
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Hedging strategy for financial variables and commodities |
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Abstract Contact Information Citation Full Text - Note |
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| May 09 2020 |
Jessica Paule-Vianez , Raúl Gómez-Martínez and Camilo Prado-Román |
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Effect of Economic and Monetary Policy Uncertainty on stock markets. Evidence on return, volatility and liquidity |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 29 2020 |
Cuiyuan Wang , Tao Wang and Changhe Yuan |
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Does Applying Deep Learning in Financial Sentiment Analysis Lead to Better Classification Performance? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Mar 05 2020 |
Hichem Saidi |
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Threshold effect of institutions on finance-growth nexus in MENA region: New evidence from panel simultaneous equation model |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Feb 23 2020 |
Willy Kamdem , Jules Sadefo Kamdem , David Kamdem and Louis aimé Fono |
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Risk Aversion and Optimal Hedge Ratio in Commodities Futures Markets |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Feb 22 2020 |
Heni Boubaker and Hichem Rezgui |
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Co-movement between some commodities and the Dow Jones Islamic Index: A Wavelet analysis |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 10 2020 |
Ana Brochado , Margarida Abreu and Victor Mendes |
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Correlates of Gambling |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Feb 07 2020 |
Benjamin Blau , Todd Griffith and Ryan Whitby |
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Comovement in the Cryptocurrency Market |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 05 2020 |
Artem Meshcheryakov and Stoyu Ivanov |
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Ethereum as a Hedge: The intraday analysis |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 06 2020 |
Isoé N. Schneider , Daniel Knebel Baggio , João S. Tusi da Silveira and Maria M. Baccin Brizolla |
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Assessing Market Timing Performance of Brazilian Multi-Asset Pension Funds using the Battese and Coelli's Stochastic Frontier Model (1995) |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 06 2020 |
Stefano Alderighi |
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Cross-listing in the European ETP market |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 01 2020 |
Maxim Zagonov and Bernd Hanke |
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Investor Attention, Lottery Stocks and the Cross-Section of Expected Returns. |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 01 2020 |
Nawazish Mirza , Amir Hasnaoui and Birjees Rahat |
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Credit Quality and Stock Returns of Commercial Banks |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Dec 27 2019 |
Antonio Afonso and Joao Tovar Jalles |
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Sovereign Ratings and Finance Ministers' Characteristics |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 21 2019 |
Pornsit Jiraporn , Mondher Bouattour , Amal Hamrouni and Ali Uyar |
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Does board gender diversity influence dividend policy? Evidence from France |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 11 2019 |
Paulo Vitor Jordão da Gama Silva , Augusto F.C. Neto , Marcelo Cabus Klotzle , Antonio Carlos Figueiredo pinto and Leonardo Lima Gomes |
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Does the cryptocurrency market exhibits feedback trading? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Nov 16 2019 |
Abdullah Alqahtani |
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Does U.S. Equity market uncertainty and implied stock market volatility affect the GCC stock markets? |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 03 2019 |
Mikhail Stolbov |
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Was there a bubble in the ICO market? |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 03 2019 |
Thomas E. Cone |
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An asset market with backwards price comparative statics |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 07 2019 |
Xiaojie Xu |
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Contemporaneous Causal Orderings of CSI300 and Futures Prices through Directed Acyclic Graphs |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 19 2019 |
Muhammad Imran , Mengyun Wu , Shuibin Gu , Shah Saud and Muhammad Abbas |
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Influence of economic and non-economic factors on firm level equity premium: Evidence from Pakistan |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 31 2019 |
Ahmed Baig , Nasim Sabah and Drew Winters |
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Have Stock Prices become more Uniformly Distributed? |
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Abstract Contact Information Citation Full Text - Note |
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| May 15 2019 |
Antonis A Michis |
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The systematic risk of gold at different time-scales |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 15 2019 |
Clark Lundberg |
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Identifying horizon-based heterogeneity in the cross section of portfolio returns |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 15 2019 |
Benjamin Carl Anderson and Stoyu I Ivanov |
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Study of the impact of the Great Recession on the relation between earnings surprises and stock returns |
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Abstract Contact Information Citation Full Text - Note |
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| May 02 2019 |
Benjamin M. Blau and Ryan J. Whitby |
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The Introduction of Bitcoin Futures: An Examination of Volatility and Potential Spillover Effects |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 27 2019 |
Román Ferrer , Syed Jawad Hussain Shahzad and Adrián Maizonada |
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Nonlinear and extreme dependence between long-term sovereign bond yields and the stock market: A quantile-on-quantile analysis |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Apr 26 2019 |
Amélie Charles and Olivier Darné |
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Volatility estimation for cryptocurrencies: Further evidence with jumps and structural breaks |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 18 2019 |
Paulo Ferreira and Éder Pereira |
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The impact of the Brexit referendum on British and European Union bank shares: a cross-correlation analysis with national indices |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Feb 02 2019 |
Jamal Bouoiyour , Refk Selmi and Mark E. Wohar |
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Bitcoin: competitor or complement to gold? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Feb 02 2019 |
Jinghan Cai , Jia He , Jibao He and Weili Zhai |
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Individual Investors and R^2 |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jan 10 2019 |
Euikyu Choi , Wei Du and Michael Malcolm |
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The cost of the travel ban to high-tech firms: An event study |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 13 2018 |
Rafael C Gatsios , Fabiano G Lima and Vinícius M Magnani |
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The impact of IFRS adoption on the accuracy and dispersion of analysts' forecasts in the Brazilian stock market |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 10 2018 |
Juanjuan Zhuo and Masao Kumamoto |
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Threshold effects of population aging on stock prices |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 30 2018 |
Refk Selmi , Aviral Kumar Tiwari and Shawkat Hammoudeh |
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Efficiency or speculation? A dynamic analysis of the Bitcoin market |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 10 2018 |
Roman Mestre and Michel Terraza |
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Time-Frequency varying beta estimation -a continuous wavelets approach- |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Sep 07 2018 |
Harri Pönkä |
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Sentiment and sign predictability of stock returns |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 05 2018 |
Michael E Araki , Marcelo Cabus Klotzle and Antonio C. F. Pinto |
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Carry trades and economic policy uncertainty: measuring the political dimension of the forward rate bias in emerging countries |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Apr 29 2018 |
Mansokku Lee , Changkuk Jung and Taeyoung Lee |
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Social order and financial development |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 23 2018 |
Mohammad Q. M. Momani |
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Revisiting the momentum factor in the U.K. stock market |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 27 2018 |
Alejandro Mosiño and Alejandro Tatsuo Moreno-Okuno |
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On modeling fossil fuel prices: geometric Brownian motion vs. variance-gamma process |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 27 2018 |
Brent J. Davis |
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Does financial well-being affect portfolio construction? Evidence from an online survey |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jan 24 2018 |
Yasuyuki Sawada , Hiroyuki Nakata , Kunio Sekiguchi and Yoko Okuyama |
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Land and Real Estate Price Sensitivity to a Disaster: Evidence from the 2011 Thai Floods |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 21 2018 |
Wahyoe Soedarmono |
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Stock market integration in the Asia-Pacific region:
Evidence from cointegration of liquidity risk
|
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Dec 01 2017 |
José Antonio Núñez-Mora , Roberto Joaquín Santillán-Salgado and Leovardo Mata |
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Efficient portfolios and the generalized hyperbolic distribution |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Nov 19 2017 |
Adedoyin Isola Lawal , Russel O Somoye and Abiola Ayopo Babajide |
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Are African stock markets efficient? Evidence from wavelet unit root test for random walk |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 19 2017 |
Paulo Sergio Ceretta and Alexandre Silva Da costa |
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The Gap Effect on the Brazilian Exchange |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Nov 19 2017 |
Nawazish Mirza and Krishna Reddy |
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Asset Pricing in a Developing Economy: Evidence from Pakistan |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 26 2017 |
Bala A. Dahiru , Pam W. Jim and Kalu N. Nwonyuku |
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Equity markets volatility dynamics in developed and newly emerging economies: EGARCH-with-skewed-t density approach |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 26 2017 |
Arzé Karam |
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The effects of intraday news flow on market liquidity, price volatility and trading activity |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 31 2017 |
Taizo Motonishi |
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The Effects of the Great East Japan Earthquake on Investors' Risk and Time Preferences |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 31 2017 |
Raushan Kumar |
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Price Discovery in Some Primary Commodity Markets in India |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 29 2017 |
Paolo Vitale |
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Ambiguity-aversion in a Single Auction Market |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 08 2017 |
Pierre O. De souza , Tiago P. Filomena , João F. Caldeira , Denis Borenstein and Marcelo B. Righi |
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Risk parity in the brazilian market |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 02 2017 |
Taro Ikeda |
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A fractal analysis of world stock markets |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 02 2017 |
Benjamin M Tabak , Dimas M Fazio , Regis A Ely , Joao M. T. Amaral and Daniel O Cajueiro |
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The effects of capital buffers on profitability: An empirical study |
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Abstract Contact Information Citation Full Text - Note |
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| May 25 2017 |
Amrendra Kumar and Vikash Gautam |
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Gold as inflation and exchange rate hedge: The case of India |
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Abstract Contact Information Citation Full Text - Note |
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| May 25 2017 |
Oguzhan Cepni and Doruk Kucuksarac |
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Optimal Mix of the Extended Nelson Siegel Model for Turkish Sovereign Yield Curve |
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Abstract Contact Information Citation Full Text - Note |
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| May 14 2017 |
Elie Bouri , Imad Kachacha , Donald Lien and David Roubaud |
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Short- and long-run causality across the implied volatility of crude oil and agricultural commodities |
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Abstract Contact Information Citation Full Text - Note |
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| May 05 2017 |
Nidhal Mgadmi and Khemaies Bougatef |
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Modeling volatility of the French stock market |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 22 2017 |
Wilfredo Leiva Maldonado and Jussara Ribeiro |
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Construction of a dividend index with all the distributed revenues |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 22 2017 |
Giray Gozgor and Ender Demir |
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Excess stock returns, oil shocks, and policy uncertainty in the U.S. |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 22 2017 |
Liam Ison and Robert Hudson |
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Stock predictability and preceding stock price changes – evidence from central and eastern european markets |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 22 2017 |
Stoyu Ivanov |
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Comparative Analysis of ETF and Common Stock Intraday Bid-Ask Spread Behavior |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Apr 22 2017 |
Ritika Jain |
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Is Demonetisation a Windfall for the banking sector? Evidence from the Indian stock market |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 09 2017 |
Taro Ikeda |
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Fractal analysis revisited: The case of the US industrial sector stocks |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 22 2017 |
Sébastien Galanti and Zahra Ben Braham |
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Information efficiency on an emerging market: analysts' recommendations in Tunisia |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 22 2017 |
Siew-Pong Cheah , Thian-Hee Yiew and Cheong-Fatt Ng |
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A nonlinear ARDL analysis on the relation between stock price and exchange rate in Malaysia. |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 13 2017 |
Selim baha Yildiz and Abdelbari El khamlichi |
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The Performance Ranking of Emerging Markets Islamic Indices Using Risk Adjusted Performance Measures |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jan 13 2017 |
Suan Poh , Chee wooi Hooy and Kian-ping Lim |
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Effect of Geographical Diversification on Informational Efficiency in Malaysia |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jan 13 2017 |
Chi Dong , Hooi Hooi Lean and Zamri Ahmad |
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Intra-industry information diffusion in China's stock market |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Dec 21 2016 |
Syed jawad hussain Shahzad , Saba Ameer and Muhammad Shahbaz |
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Disaggregating the correlation under bearish and bullish markets: A Quantile-quantile approach |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Dec 10 2016 |
Valeriya V. Lakshina and Andrey M. Silaev |
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Fluke of stochastic volatility versus GARCH inevitability or which model creates better forecasts? |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 26 2016 |
Mohsen Bahmani-Oskooee , Tsangyao Chang , Tsung-hsien Chen and Han-wen Tzeng |
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"Revisiting the efficient market hypothesis in transition countries using quantile unit root test." |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 05 2016 |
Francesco Cesarone , Jacopo Moretti and Fabio Tardella |
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Optimally chosen small portfolios are better than large ones |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Sep 03 2016 |
Jamal Bouoiyour and Refk Selmi |
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Brexit concerns, UK and European equities: A lose-lose scenario? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jun 11 2016 |
Flavio C. Sanematsu and Ricardo P. C. Leal |
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Survivorship bias in Brazilian stock funds |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 18 2016 |
Xing Lu and Neel Patel |
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Festivity Anomaly in Indian Stock Market |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 29 2016 |
Ramzi Boussaidi and Abaoub Ezzeddine |
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The dynamics of Stock price adjustment to fundamentals: an empirical essay via STAR models in the Tunisian stock market |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 14 2016 |
Abd Halim Ahmad , Nur Adiana Hiau Abdullah and Kamarun Nisham Taufil Mohd |
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Market reactions to financial distress announcements: Does the market react differently to different outcomes? |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 04 2016 |
Maiko Koga |
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Momentum trading behavior in the FX market: Evidence from Japanese retail investors |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 04 2016 |
Aneel Keswani , David Stolin and Maxim Zagonov |
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UK fund returns and sector diversification |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Nov 20 2015 |
Wael Louhichi and Ousayna Zreik |
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Corporate Risk Reporting: A study of The Impact of Risk Disclosure on Firms Reputation |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 02 2015 |
Franck Martin and Mai lan Nguyen |
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Asymmetric dynamics in the correlations of hedge fund strategy indices: what lessons about financial contagion ? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 24 2015 |
Omar Farooq and Imad Jabbouri |
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Ownership structure and portfolio performance: Pre- and post-crisis evidence from the Casablanca Stock Exchange |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Mar 30 2015 |
Ran Shao and Na Wang |
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Effects of Aging on Gender Differences in Financial Markets |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Mar 29 2015 |
Dimitrios P. Louzis |
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The economic value of flexible dynamic correlation models |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 29 2015 |
Svein olav Krakstad and Peter Molnar |
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Characteristics of Norwegian Rights Issues |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 11 2015 |
Prateek Sharma and Swati Sharma |
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Forecasting gains of robust realized variance estimators: evidence from European stock markets |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Nov 06 2014 |
Shangkari V Anusakumar , Ruhani Ali and Chee-Wooi Hooy |
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Are momentum and contrarian effects related? Evidence from the Chinese stock market |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Nov 06 2014 |
Enareta Kurtbegu and Juliana Caicedo-llano |
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European equity fund managers: luck or skill?! |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 05 2014 |
Wen-chung Guo and Ying-huei Chen |
