Purpose: The purpose of this paper is to examine the causal relationship between economic development and financial sector development for 28 countries at different stages of their development. The authors specifically focus on the nature of causality during economic boom and tranquil cycles....

Purpose: This paper aims to investigate the value relevance of the European Emission Allowance (EUA) return and volatility on the equity value of the top listed European Power Generation Firms for the three trading phases of the European Emission Trading Scheme. Design/methodology/approach: The...

Purpose: This study aims to investigate – theoretically and empirically – if call auctions incorporate asymmetric information into prices. Design/methodology/approach: First, this study introduces a new model of price formation in a call auction with insider information. In this call...

Purpose: This paper aims to empirically investigate the volatility of Bitcoin, Litecoin and the Euro. Design/methodology/approach: The authors use quantitative methodologies to assess the annualized volatility of two cryptocurrencies and one international fiat currency. The exchange rate of the...

Purpose: The purpose of this paper is to investigate the possibility of monitoring stress on stock markets from the perspective of a central counterparty (CCP). Due to their balanced positions, CCPs are exposed to extreme price movements in both directions; thus, the major risk for them derives...

Purpose: Previous research has found that industry concentration and firm efficiency affect stock returns. However, it is not clear if concentration is a byproduct of efficiency and hence its effect on stock returns is driven by efficiency. This paper aims to examine the relationships between...

Purpose: In the current study, the significance of extreme positive returns has been investigated in the pricing of stocks in the Indian equity market. This study aims to understand if investors in India have a preference for lottery-like stocks. The existing literature provides support for MAX...

Purpose: This paper aims to apply the heterogeneous autoregressive model of realized volatility (HAR-RV) model to minimum-variance hedge ratio estimation and compares the hedging performance of presenting a model with that of a conventional rolling ordinary-least-square (OLS) hedging model....

Purpose: This paper aims to test three parametric models in pricing and hedging higher-order moment swaps. Using vanilla option prices from the volatility surface of the Euro Stoxx 50 Index, the paper shows that the pricing accuracy of these models is very satisfactory under four different...

Purpose: This paper aims to develop hedging strategies using both futures and forward contracts and issuing risky debt when financially constrained firms are forced to operate in long horizon. Design/methodology/approach: The authors present a model for developing hedging strategies using both...