All Outputs (3)

Covid-19 and stock market liquidity: International evidence (2022)
Journal Article
Umar, M., Rubbaniy, G., Iqbal, A., Rizvi, S. K. A., & Xu, Y. (2023). Covid-19 and stock market liquidity: International evidence. Economic Research-Ekonomska Istrazivanja, 36(2), Article 2142257. https://doi.org/10.1080/1331677X.2022.2142257

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
Rubbaniy, G., Khalid, A. A., Tessema, A., & Baqrain, A. (2023). Do stock market fear and economic policy uncertainty co-move with COVID-19 fear? Evidence from the US and UK. Studies in Economics and Finance, 40(1), 192-212. https://doi.org/10.1108/SEF-10-2021-0408

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
Tessema, A., & Rubbaniy, G. (2023). Investors' responses to macroeconomic news: The role of mandatory derivatives and hedging activities disclosure. International Journal of Managerial Finance, 19(1), 173-202. https://doi.org/10.1108/IJMF-12-2020-0635

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.