In this study, we examine the critical question of whether global equity and bond assets (both green and non-green) offer effective hedging and safe haven properties against stock market risks in South Asia, with a focus on Bangladesh, India, Pakistan, and Sri Lanka. The increasing integration...

Traditional measures of assessment of mutual fund performance (alpha) are based mostly on Capital Assets Pricing Model which presupposes fixed sensitivity of risk exposure of a fund to its market proxy (beta). However, changing economic conditions will alter this relationship. In conditional...

This study examines the predictability of three major cryptocurrencies-bitcoin, ethereum, and litecoin-and the profitability of trading strategies devised upon machine learning techniques (e.g., linear models, random forests, and support vector machines). The models are validated in a period...

This paper examines the long-run relationship between goods prices and stock prices to understand whether stock market investment can help hedge against inflation in the United States (US) and Canada. This study employed an autoregressive distributed lag (ARDL) cointegration test developed by...

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using the best fitting model among SGARCH, EGARCH and...

This study examines the co-movement and time-varying integration between equity, exchange rate, and international market volatility indices across different time-frequency domains using - bi-partial wavelet, - supplemented by dynamic conditional correlation-generalised autoregressive conditional...

The study examines the spillover between Twitter Uncertainty Indexes (TUI) and 10 US sectors. Our methodology is twofold: a time-varying parameter vector autoregression (TVP-VAR) to explore the dynamic connectedness among sectoral returns and a regression, mainly ordinary least squares (OLS) and...

The goal ofthis comparative research isto investigate intra-market commonality inliquid-ity onsix small emerging Central and Eastern European (CEE) stock exchanges - inthe Czech Republic, Hungary, Slovakia, Lithuania, Estonia, and Latvia. The CEE post-commu-nist countries can beanalyzed together...

This paper applies recently developed procedures to monitor and date so-called "financial market dislocations", defined as periods in which substantial deviations from arbitrage parities take place. In particular, we focus on deviations from the triangular arbitrage parity for exchange rate...