This study employs a Time-Varying Parameter Vector Auto Regressive (TVP-VAR) connectedness approach to investigate the dynamic interconnections, portfolio performance, and hedging effectiveness across hydrogen economy, renewable energy markets, equit... Read More about Dynamic connectedness, portfolio performance, and hedging effectiveness of the hydrogen economy, renewable energy, equity, and commodity markets: Insights from the COVID-19 pandemic and the Russia-Ukraine war.
Outputs (15)
Income and balance sheet diversification effects on banks' cost and profit efficiency: Evidence from the United States (2024)
Journal Article
Using two-step system generalized method of moments approach, we provide empirical evidence on the impact of income, asset, and funding diversification on the cost and profit efficiency of US commercial banks from 2002 to 2019. Furthermore, we use tw... Read More about Income and balance sheet diversification effects on banks' cost and profit efficiency: Evidence from the United States.
Efficient market hypothesis on the blockchain: A social‐media‐based index for cryptocurrency efficiency (2024)
Journal Article
This paper proposes the use of social media as a proxy for financial information. Using an extended sample of 53,580,759 tweets and employing text analysis tools (Latent Dirichlet Allocation and Term Frequency–Inverse Document Frequency), we determin... Read More about Efficient market hypothesis on the blockchain: A social‐media‐based index for cryptocurrency efficiency.
Cyclicality of liquidity creation: Nonlinear evidence from US bank holding companies (2023)
Journal Article
Using a panel smooth transition regression framework on a new proxy of the business cycle (BC) index and quarterly data of US bank holding companies from 1993Q1 to 2020Q1, our results provide empirical support for the theory that the BC has a nonline... Read More about Cyclicality of liquidity creation: Nonlinear evidence from US bank holding companies.
Covid-19 and stock market liquidity: International evidence (2022)
Journal Article
This study analyzes the impact of Covid-19 on stock market liquidity of China and four worst hit countries by the pandemic. Using daily data for the stock market illiquidity spanning over July 1, 2019 to July 10, 2020 and the data for new cases and d... Read More about Covid-19 and stock market liquidity: International evidence.
Do stock market fear and economic policy uncertainty co-move with COVID-19 fear? Evidence from the US and UK (2022)
Journal Article
Purpose: The purpose of the paper is to investigate co-movement of major implied volatility indices and economic policy uncertainty (EPU) indices with both the health-based fear index and market-based fear index of COVID-19 for the USA and the UK to... Read More about Do stock market fear and economic policy uncertainty co-move with COVID-19 fear? Evidence from the US and UK.
Investors' responses to macroeconomic news: The role of mandatory derivatives and hedging activities disclosure (2022)
Journal Article
Purpose: The purpose of this study is to investigate how changes in the firm's information disclosure practices impact the way investors process macroeconomic news. Specifically, the authors examine the role of derivative instruments and hedging acti... Read More about Investors' responses to macroeconomic news: The role of mandatory derivatives and hedging activities disclosure.
Are ESG stocks safe-haven during COVID-19? (2021)
Journal Article
Purpose: The purpose of this study is to investigate safe-haven properties of environmental, social and governance (ESG) stocks in global and emerging ESG stock markets during the times of COVID-19 so that portfolio managers and equity market investo... Read More about Are ESG stocks safe-haven during COVID-19?.
Cyclicality of capital adequacy ratios in heterogeneous environment: A nonlinear panel smooth transition regression explanation (2021)
Journal Article
Our study uses a new business cycle (BC) index and a nonlinear panel smooth transition regression model on quarterly data of 1538 bank holding companies of the United States to investigate response of capital adequacy ratios (CARs) to changes in econ... Read More about Cyclicality of capital adequacy ratios in heterogeneous environment: A nonlinear panel smooth transition regression explanation.
Investors’ mood and herd investing: A quantile-on-quantile regression explanation from crypto market (2021)
Journal Article
This study uses daily data of 382 cryptocurrencies and a quantile-on-quantile regression (QQR) framework developed by Sim and Zhou (2015), to establish a link between herding behavior and investors’ mood and provide support for mood-as-information hy... Read More about Investors’ mood and herd investing: A quantile-on-quantile regression explanation from crypto market.