This study investigates the moderating effect of managerial sentiment on the relation between analyst coverage and downside risk. Using the earthquake as a negative shock to managerial sentiment, we find that analyst coverage is negatively correlated with downside risk, however, this...

In this paper, we use the improved Diebold & Yilmaz method based on TVP-VAR-SV model to analyze dynamic connectedness between energy, precious metal, industrial metal, agriculture and livestock commodity markets. The results show that the energy, industrial metal, and precious metal commodity...

Intraday return predictability has firstly been identified in the equity markets, and we extend the analysis to the crude oil market by using high-frequency United States Oil Fund data from 2006 to 2018. We find a different intraday prediction pattern in the oil market, where only the first...

This study used dummy variables to measure the influence of day-of-the-week effects and structural breaks on volatility. Considering day-of-the-week effects, structural breaks, or both, we propose three classes of HAR models to forecast electricity volatility based on existing HAR models. The...

We study whether climate risk will affect the stock returns of fossil fuel companies in international markets. Our results show that in the world market, a 1% increase in climate risk will increase the stock returns of fossil fuel companies by 85 BP to 121 BP. We also prove that this climate...

This study investigates the impact of economic policy uncertainty (EPU) on the volatility of European Union (EU) carbon futures prices and whether it has predictive power for the volatility of carbon futures prices. The GARCH-MIDAS model is applied for evaluating the impact of different EPU...