The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime-switching (MS) vector autoregressive with exogenous...

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 study explores the dynamic effects of different oil shocks on real exchange rates in net oil importers and exporters. Specifically, the connectedness measures are combined with the structural vector autoregressive model. The findings show that oil supply shocks have a larger depreciating...

The aim of this study is to examine the extreme return spillovers among the US stock market sectors in the light of the COVID-19 outbreak. To this end, we extend the now-traditional Diebold-Yilmaz spillover index to the quantiles domain by building networks of generalized forecast error variance...

This study examines the safe-haven and hedging roles of gold against thirteen Asian stock markets during the COVID-19 outbreak. During the COVID-19 sub-period, gold is shown to be a strong hedge (diversifier) for the majority (minority) of Asian stock markets; it exhibits the property of a...

We examined the determinants of the U.S. consumer sentiment by applying linear and nonlinear models. The data are monthly from 2009 to 2019, covering a large set of financial and nonfinancial variables related to the stock market, personal income, confidence, education, environment,...

Are conventional and sustainable cryptocurrencies effective hedging instruments for high cryptocurrency uncertainty? This paper examines co-movements between conventional (Bitcoin, Ethereum, Binance Coin, Tether) and sustainable (Cardano, Powerledger, Stellar, Ripple) cryptocurrencies and two...

This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional (Bitcoin and Ethereum) and Islamic (Stellar and Ripple) cryptocurrencies. Using a novel...

The war in Ukraine and new sanctions imposed on Russia have affected commodity prices and induced historic moves in exchange rate markets. In this paper, we examine the impact of commodity price shocks related to the war in Ukraine on three currencies (Canadian dollar, euro, and Japanese yen)....