The cryptocurrency market has experienced stunning growth, with market value exceeding USD 1.5 trillion. We use a DCC-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and stablecoins. Our results demonstrate that...

The cryptocurrency market has experienced stunning growth, with market value exceeding USD 1.5 trillion. We use a DCC-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and stablecoins. Our results demonstrate that...

The presence of investor sentiment pushes asset prices away from the equilibrium level justified by underlying fundamentals. While sentiment is not directly observable, identifying appropriate proxies and, quantifying the impact of sentiment on asset prices is an important topic. Asset prices...

This article examines the relationship between changes in the level of investor fear (measured by VIX) and financial market returns. We document a statistically significant relationship, across asset classes, consistent with a flight to quality as investor fear increases. As VIX increase there...

This note examines the relationship between changes in levels of investor fear (measured by VIX) and FX market returns. Our empirical results indicate a negative relationship between daily returns on high-interest rate (investing) currencies and changes in VIX, while the association is positive...

This paper examines the pattern of order aggressiveness, and the determinants of this pattern for institutional and retail brokers in the interval around monetary policy announcements. Utilizing a high-frequency dataset, with broker identifiers for each order submitted on the ASX over the period...

This paper provides new empirical evidence on a monetary policy committee with heterogeneous members whose decisions affect the efficacy of monetary policy. It thereby provides a link between the literature on monetary policy committees and central bank monetary policy implementation through...

This article seeks to consider the relationship between the sentiment of newswire messages for a set of major international banks and changes in two important credit measures; the LIBOR-OIS spread and the CDS spread. There is a significant and negative relationship between news sentiment and...

This article examines the determinants of trading decisions, and the performance of trader types, in the context of the E-Mini S&P 500 futures and S&P 500 futures markets. Although the markets are very similar, essentially trading the same underlying asset but with different contract sizes, some...