Outputs (18)

Financial market determinants of Dynamic Herding in North American energy equity market (2025)
Journal Article

This study employs state-space models and the quantile-on-quantile regression technique to examine the dynamics of intentional and fundamental herding in North American energy stocks, together with its non-linear determinants. Our findings reveal per... Read More about Financial market determinants of Dynamic Herding in North American energy equity market.

Asymmetric relationship between diversification and liquidity creation: Empirical evidence from GCC (2025)
Journal Article

This study examines how bank diversification affects liquidity creation by using the bank level data of GCC countries. We use data from 205 banks in GCC over the period of 2005–2019. To test the hypothesized relationship, we employ the GMM methodolog... Read More about Asymmetric relationship between diversification and liquidity creation: Empirical evidence from GCC.

Litigation risk, universal demand laws, and corporate financial decisions: Evidence on debt and dividend policies (2025)
Preprint / Working Paper

This paper investigates how litigation risk and the adoption of Universal Demand (UD) laws affect corporate debt and dividend policies in the presence of managerial risk-taking and cash constraints. Using a sample of S&P 500 non-financial firms, we e... Read More about Litigation risk, universal demand laws, and corporate financial decisions: Evidence on debt and dividend policies.

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.

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 (2024)
Journal Article

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.

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.