Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks
We use time and frequency connectedness approaches based on network analysis to
investigate the volatility connectedness among 27 emerging equity markets and seven high …
investigate the volatility connectedness among 27 emerging equity markets and seven high …
Network connectedness and net spillover between financial and commodity markets
We extend the prior literature on market connectedness and spillover by quantifying the size
of return connectedness across markets (assets). Applying the network spillover …
of return connectedness across markets (assets). Applying the network spillover …
Systemic risk measures and regulatory challenges
S Ellis, S Sharma, J Brzeszczyński - Journal of Financial Stability, 2022 - Elsevier
This paper discusses different definitions of systemic risk and identifies the challenges,
which regulators face in addressing this phenomenon. We conducted a systematic literature …
which regulators face in addressing this phenomenon. We conducted a systematic literature …
Impact of speculation and economic uncertainty on commodity markets
We examine the interactions between commodity futures returns and five driving factors
(financial speculation, exchange rate, stock market dynamics, implied volatility for the US …
(financial speculation, exchange rate, stock market dynamics, implied volatility for the US …
Return seasonalities
M Keloharju, JT Linnainmaa… - The Journal of Finance, 2016 - Wiley Online Library
ABSTRACT A strategy that selects stocks based on their historical same‐calendar‐month
returns earns an average return of 13% per year. We document similar return seasonalities …
returns earns an average return of 13% per year. We document similar return seasonalities …
Time-varying dependence dynamics between international commodity prices and Australian industry stock returns: a Perspective for portfolio diversification
This paper investigates the time-varying dependence dynamics between the international
commodity prices of Brent crude oil, natural gas, cocoa, and Australia's sectoral stock …
commodity prices of Brent crude oil, natural gas, cocoa, and Australia's sectoral stock …
On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes
This paper provides a thorough analysis on multiscale dependence schemes between
equity markets, commodity futures and uncertainty indexes. Based on decomposed return …
equity markets, commodity futures and uncertainty indexes. Based on decomposed return …
US equity and commodity futures markets: Hedging or financialization?
In this paper, we investigate the hedging versus the financialization nature of commodity
futures vis-à-vis the equity market using a ARMA filter-based correlation approach. Our …
futures vis-à-vis the equity market using a ARMA filter-based correlation approach. Our …
Stock returns, crude oil and gold prices in Turkey: evidence from rolling window-based nonparametric quantile causality test
This study explores the time-varying effects of crude oil prices (OP) and gold prices (GP) on
the Turkish stock market using a weekly data series from November 26, 1989 to July 10 …
the Turkish stock market using a weekly data series from November 26, 1989 to July 10 …
On the time scale behavior of equity-commodity links: Implications for portfolio management
We investigate the time-scale relationships between US equity and commodity markets. The
empirical evidence from the risk-return profitability analysis based on the wavelet coherence …
empirical evidence from the risk-return profitability analysis based on the wavelet coherence …