While energy risk is increasingly recognized as a new systemic risk, there is limited comprehensive analysis of the risk propagation in regional context. In this paper, we examine oil and natural gas price changes in relation to equity market returns for 24 countries in the European Economic...

The study examines dynamic volatility transmissions among European Energy industry participants along the production lines, using the Diebold and Yilmaz (2012)’s spillover index. We sort the sector participants, based on their production exposure, into Upstream, Midstream, Downstream, and...

We study the functioning of the securities lending market for the prime European benchmark Treasuries, the German Bunds, in the near zero interest environment. We show that despite the high demand pressure for pledgeable collateral, most lenders are unable to extract nontrivial market rents in...

Using multiple short sale measures, we examine the predictive power of short sales for future stock returns in 38 countries from July 2006 to December 2014. We find that the days-to-cover ratio and utilization ratio measures have the most robust predictive power for future stock returns in the...

We study the information content in monthly short interest using NYSE-, AMEX-, and NASDAQ-listed stocks from 1988 to 2005. We show that stocks with relatively high short interest subsequently experience negative abnormal returns, but the effect can be transient and of debatable economic...

We examine the efficacy of short sale regulations in Hong Kong, where the list of shortable stocks is managed by regulators and is updated quarterly. While regulators generally cautiously restrict short selling to larger stocks, we show evidence of deviations: some large liquid stocks, which...