Using transaction-level tick-by-tick data of same- and next-day settlement of the Russian Ruble versus the US Dollar exchange rate (RUB/USD) traded on the Moscow Exchange Market during the period 2005-2013, we analyze the impact of trading hours extensions on volatility. During the sample...

We empirically test if former U.S. President Donald Trump’s rhetoric toward China affects both the return and the conditional volatility of the Renminbi (RMB) offshore exchange rate (CNH). We calculate the sentiment of Trump’s China-related tweets, as the proxy of political value judgment,...

Using transaction-level tick-by-tick data of same- and next-day settlement of the Russian Ruble versus the US Dollar exchange rate (RUB/USD) traded on the Moscow Exchange Market during the period 2005–2013, we analyze the impact of trading hours extensions on volatility. During the sample...

Using transfer entropy and effective transfer entropy measures this study finds a bidirectional time-asymmetric information flow between monthly bitcoin prices and bitcoin total electricity consumption. Shannon's effective transfer entropy is estimated to be 0.0636 (Price-Electricity) and 0.0313...

This paper examines the profitability of simple technical trading rules in bitcoin markets comprehensively, by taking into account realistic investor behavior and transaction costs, and data mining problems. Realistic investor behavior is replicated by first employing 75,360 simple technical...

We investigate the performance of Socially Responsible Investments (SRI) in both developed and emerging countries. We do so by examining the performance of self-constructed equity portfolios based on SRI's mutual funds' current and historical holdings. Based on the current holdings, the SRI...