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.
All Outputs (14)
The perfect bail-in: Financing without banks using peer-to-peer lending (2023)
Journal Article
We explore the potential outcomes for financial stability when using peer-to-peer lenders to finance economic activity. Combining Random Regression Forests, a machine-learning process, with an agent-based model, we perform simulations on artificial e... Read More about The perfect bail-in: Financing without banks using peer-to-peer lending.
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.
Safe-haven properties of soft commodities during times of Covid-19 (2021)
Journal Article
We use wavelet coherence analysis on global COVID-19 fear index and, soft commodities’ spot and futures prices to investigate safe-haven properties of soft commodities over the period from January 28, 2020 to April 29, 2021. Our findings show that ea... Read More about Safe-haven properties of soft commodities during times of Covid-19.
Carbon neutrality target for leading exporting countries: On the role of economic complexity index and renewable energy electricity (2021)
Journal Article
In order to contribute to the existing limited energy-environment literature, the present study analyze the carbon neutrality targets of the 16 major exporting economies while considering the role of economic complexity and renewable energy electrici... Read More about Carbon neutrality target for leading exporting countries: On the role of economic complexity index and renewable energy electricity.
COVID-19, Lockdowns and herding towards a cryptocurrency market-specific implied volatility index (2021)
Journal Article
This study investigates herd effects in 101 cryptocurrencies during the period from January 2015 to June 2020. Our results confirm the existence of herding behavior in the cryptocurrency market for the entire sample and show that herding asymmetry is... Read More about COVID-19, Lockdowns and herding towards a cryptocurrency market-specific implied volatility index.
Understanding the dynamics of resource curse in G7 countries: The role of natural resource rents and the three facets of financial development (2021)
Journal Article
In this study, we aim to reinvestigate the resource curse hypothesis with a special emphasis on the institutional failure hypothesis. Our sample is based on G7 countries, known to have a high degree of institutional strength, for four decades from 19... Read More about Understanding the dynamics of resource curse in G7 countries: The role of natural resource rents and the three facets of financial development.
Are cryptos safe-haven assets during Covid-19? Evidence from wavelet coherence analysis (2021)
Journal Article
This study adds to the inconclusive debate on safe-haven properties of cryptocurrencies during Covid-19 by analyzing the use of wavelet coherence framework on the global Covid-19 fear index, cryptocurrency implied volatility index (VCRIX), and crypto... Read More about Are cryptos safe-haven assets during Covid-19? Evidence from wavelet coherence analysis.