The aim of this study is to understand the effect of the recent novel coronavirus pandemic on investor herding behavior in global stock markets. Utilizing a daily newspaper-based index of financial uncertainty associated with infectious diseases, we examine the association between...

This paper examines the predictive power of time-varying risk aversion over payoffs to the carry trade strategy via the cross-quantilogram methodology. Our analysis yields significant evidence of directional predictability from risk aversion to daily carry trade returns tracked by the Deutsche...

This paper examines the propagation of oil price uncertainty shocks to real equity prices using a large-scale Global Vector Autoregressive (GVAR) model of 26 advanced and emerging stock markets. The GVAR framework allows us to capture the transmission of local and global shocks, while...

The goal of this study is to examine the role of geopolitical risks as a driver of stock market returns in the context of the energy-stock market nexus with a particular emphasis on the intermediary role of energy supply for Turkiye. Our findings confirm the role of GPRs as a net transmitter of...

Examining the gradual information diffusion hypothesis of Hong et al. (2007)in an emerging market context, we show that industry returns possess predictive information regarding the direction of the aggregate stock market in Borsa Istanbul, both in- and out-of-sample, and that the predictive...