The co-movement of multi-asset markets in emerging markets has become an important determinant for investors seeking diversified portfolios and enhanced portfolio returns. Despite this, studies have failed to examine the determinants of the co-movement of multi-asset markets such as investor...

Examining the gradual information diffusion hypothesis of Hong et al. (2007)in an emerging market context, we show that industry returns possess predictive information regarding the direction of the aggregate stock market in Borsa Istanbul, both in- and out-of-sample, and that the predictive...

This paper investigates the responsiveness of US equity sectors to the sentiments conveyed by the speeches of the governors of the US Federal Reserve (the Fed). Using principal component analysis of the scores of four Lexicon dictionaries to analyze speeches from June 1, 1996, to September 30,...

This study investigates the relationship between gold prices, agricultural commodity prices (rice, flour, bean, chickpea, lentil, and sugar), and Turkish stock markets. Using the Fourier Toda-Yamamoto causality test and wavelet coherency approach, we find that gold prices significantly influence...

Green innovation is a costly and risky process that enables firms to improve their energy efficiency and maintain sustainable growth. In this study, we investigate whether cross-listing shares in developed markets encourages firms from developing markets to engage in green innovation. By...

In this paper, I document that investor attention negatively predicts betting against beta returns. Using Google Search Volumes toward US market indices as my proxy to attention, I find that this relation holds after controlling for competitive factors and different search terminologies and in...

Purpose - This study investigates how the Russian invasion of Ukraine affected the stock markets of the Gulf Cooperation Council (GCC) countries in comparison to Europe and explores the varying responses of GCC markets. Design/methodology/approach - Using an event study framework, the impact of...

Using ABA research design and daily indices from South Africa, Eurozone, Japan and the United States of America, this study evaluates the interaction between equity index futures and spot markets before; during and after the COVID-19 pandemic. The results show evidence of cointegration between...

Purpose This study investigates the influence of trading mechanisms on cross-market integration between stocks and corporate bonds on the Tel Aviv Stock Exchange (TASE) during the COVID-19 crisis. Unlike the worldwide practice of trading corporate bonds on an over-the-counter (OTC) market, TASE...

Between 2017 and 2024, the main national stock market indices rose in the US and the five largest European economies. However, the average daily performance of all six indices turns from positive to negative when weighted by daily media coverage. A case in point is the average daily performance...

Purpose This paper aims to analyze the connectedness between Gulf Cooperation Council (GCC) stock market index and cryptocurrencies. It investigates the relevant impact of RavenPack COVID sentiment on the dynamic of stock market indices and conventional cryptocurrencies as well as their Islamic...

Purpose This study aims to analyse the effects of Economic Policy Uncertainty (EPU) on the return of growth/value and small/large-cap stocks during expansionary and recessionary periods across a conditional distribution. Design/methodology/approach The authors selected a sample covering the...

The evidence of financial globalization and the rapid and uniform contagion that it entails among the different international financial markets, have been exposed after the 2008 crisis outbreak, as well as the different chapters of financial stress that have been experienced since then, such as...

This paper revisits the effects of financial market openness and stock market returns on economic development in the Gulf Cooperation Council countries over the period 1993-2022. We performed the panel stationarity test advanced that accommodates the presence of multiple structural breaks and...

This study examined how uncertainty and global risk affect financial markets in emerging economies, focusing on foreign investment, CDS spreads, exchange rates, and stock return volatility. Using over 8.6 million ticker transaction observations and structural vector autoregression (VAR) models,...

This study aims to explore the potential association between the performance of the stock market and the growth of the rural economy in China. It examines the impact of regional market volatility on rural macroeconomic indicators, which functions through the equity price fluctuations of locally...

Accurately predicting stock market movements remains a critical challenge in finance, driven by the increasing role of algorithmic trading and the centrality of financial markets in economic sustainability. This study examines the incorporation of artificial intelligence (AI) and machine...

This study examines the simultaneous relationships among oil prices, oil volatility, and two sub-sectors within alternative energy stocks: renewable energy equipment (REE) and alternative fuels (AF). The results confirm the existence of a bidirectional relationship. While most alternative energy...

This study examines stock borrowing costs in Japan's centralized lendable stock market, focusing on differences between 'hard-to-borrow' and 'easy-to-borrow' stocks over six months of daily data. This study employs a comprehensive methodology to examine metrics such as the short interest ratio,...

Inflation remained quiescent for several decades and then surged in 2021 and 2022. Inflation subsequently fell in 2023 and 2024. This paper investigates how the rise and fall in inflation after 2019 affected the U.S. stock market. To do this, it estimates a fully specified multi-factor model...

This study investigates the role of short sales in mitigating post-shock anomalies in stock returns within the context of China's evolving short-sales regulations. Utilizing a unique dataset of daily short-sale volumes, this research examines how short sellers influence stock price behavior...

The capital markets are sensitive to geopolitical events. It is important to provide evidence of reactions to specific geopolitical events in order to identify general patterns and effective risk management strategies. This study follows the event study approach to assess the reactions of...

The purpose of the paper is to present the results of the research on the potential inclusion of different types of crypto assets, such as Bitcoin, NFTs (Non-Fungible Tokens), and DeFi (Decentralised Finance), within optimal portfolios to help reduce variance or increase returns compared to...

This study investigates the relationship between news delivered via the QUICK terminal and stock market behavior. Specifically, through an evaluation of the performance of investment strategies that utilize news index created based on its scores indicating positive or negative sentiment, we...

This study examines the out-of-sample predictability of expected skewness of oil price returns, which serves as a metric for global future risks, as we show statistically through the association with crises of different nature, for stock returns of 10 (8 advanced plus two emerging) countries...