Skip to main content

Research Repository

Advanced Search

All Outputs (13)

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.

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.

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.

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.

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.