Purpose: This paper aims to investigate the volatility transmission across stocks, gold and crude oil markets before and during the novel coronavirus (COVID-19) crisis. Design/methodology/approach: A multivariate vector autoregression (VAR)-Baba, Engle, Kraft and Kroner generalized...

Purpose: This paper aims to study the dynamics of bitcoin prices in Brazil, a large emerging economy with an unregulated bitcoin market. Design/methodology/approach: First, this study tests if the Law of One Price (LOOP) is valid for bitcoin prices in Brazil, conducting tests with data from...

Purpose: This paper aims to introduce a new indicator to measure redenomination risks in Euro area countries. The measure is based on survey data. The influence of this indicator in determining sovereign bond yield spreads is estimated. Design/methodology/approach: An autoregressive distributed...

Purpose: Studies on transfers to a more regulated section show an increase in information disclosure and stocks’ liquidity levels. Classical theories suggest that volatility should also be reduced. This study aims to analyse the long-term effects of a section transfer to a more regulated...

Purpose: This paper aims to demonstrate a dynamic cointegration-based pairs trading strategy, including an optimal look-back window framework in the cryptocurrency market and evaluate its return and risk by applying three different scenarios. Design/methodology/approach: This study uses the...

Purpose: This paper aims to ask whether a range of stock market factors contain information that is useful to investors by generating a trading rule based on one-step-ahead forecasts from rolling and recursive regressions. Design/methodology/approach: Using USA data across 3,256 firms, the...

Purpose: The purpose of this study is to identify appropriate autoregressive conditional duration (ACD) models that can capture the dynamics of tick-by-tick mid-cap exchange traded funds (ETFs) for the period July 2017 to December 2017 and accurately predict future trade duration values. The...

Purpose: Mutual fund investors assess a fund manager’s skills when allocating their capital. To identify the rationale behind retail investors’ decisions, this study aims to examine the relation between mutual fund flows and abnormal returns (alpha), as well as the various risk factors in...

Purpose: This study aims to address the timely question of whether Bitcoin exhibited a safe haven property against the major Australian stock indices during the first and second waves of the COVID-19 pandemic in Australia and whether such property is similar or different in one year time from...

Purpose: There is no research on understanding the difference in the nature of volatility and what it entails for the underlying relationship between foreign institutional investors (FII) flows and stock market movements. The purpose of this paper is to explore how permanent and transitory...