Purpose: Considering the different motivation for the creation of each of these cryptocurrencies, the purpose of this paper is to examine whether there is a dominant external factor in the cryptocurrency world. Using a novel two-step time and frequency independent methodology, the authors...

Purpose: Recent literature has shifted to examining whether exchange rate volatility symmetrically or asymmetrically affects the trade flows. This study aims to extend the existing literature by examining the effects of extremely large to extremely small changes in exchange rate volatility...

Purpose: The literature has demonstrated that lump-sum (LS) outperforms dollar-cost averaging (DCA) in uptrend markets while DCA outperforms LS only when the asset price is mean-reverted or downtrend. To bridge the gap in the literature, this study aims to use both Sharpe ratio (SR) and...

Purpose: The purpose of this paper is to evaluate the importance of financial liquidity and solvency on US commercial and domestic banks’ cost efficiency while accounting for internal and external factors. Design/methodology/approach: The Stochastic Frontier Analysis and Data Envelopment...

Purpose: The purpose of this paper is to outline and demonstrate a method for screening and selection of potential portfolio companies (PCs) during the screening phase in corporate venture capital. Design/methodology/approach: The use of the data envelopment analysis (DEA) enables the...

Purpose: This paper aims to examine the weak form of efficiency for price series of four precious metals, i.e. gold, silver, platinum and palladium, using a generalized spectral method. Design/methodology/approach: The method has the advantage of detecting both linear and non-linear serial...

Purpose: This study aims to examine the spillover effects of trans-Atlantic macroeconomic uncertainties on the local stock market returns in the USA and eight selected European countries, namely, Germany, France, Spain, Italy, Greece, Ireland, Sweden and the UK, during the 2000-2019 period....

Purpose: The purpose of this study is to explore the inherent instability, if any, in the context of investment in stocks of environment friendly companies (or the “green” stocks) across the globe using the time series momentum (TSM) trading strategies. Design/methodology/approach: Using...

Purpose: In a recent paper, Yoon and Lee (2019) (YL hereafter) propose a weighted Fama and MacBeth (FMB hereafter) two-step panel regression procedure and provide evidence that their weighted FMB procedure produces more efficient coefficient estimators than the usual unweighted FMB procedure....

Purpose: This study aims to spot wheat data and disaggregated commitment of trader data for CME traded wheat futures to examine the effect of exogenous shocks for hedging positions of Producers and Swap Dealers on cash-futures basis and excess futures returns. Design/methodology/approach: A...