We propose a new model called the product memory GARCH model by replacing (1-L)d in the FIGARCH model with (1-vL)d for 0≤v≤1, where the impulse response function in its ARCH(infinity) process has a decay rate in the form of the product of a geometric memory rate and a hyperbolic memory rare...

We investigate the changes in volatility leverage and spillover effects of three crude oil futures markets—WTI, Brent, and Oman—under the 2022 Russia-Ukraine conflict. We find that this conflict eliminates the regular leverage effect in WTI and Brent markets, slightly increases and...

This paper studies the dynamic impacts of financial development, human capital, and economic growth on CO2 emission intensity in China for the period 1978-2015, with a structural breakpoint in 1992, by employing an autoregressive distributed lag (ARDL) approach. The estimations show that there...

This study comprehensively evaluates and ranks a large number of competing explanations for the momentum anomaly. As a benchmark for evaluation, firm fundamentals are found to be the most promising among well-known explanations of momentum, followed by prospect theory and mental accounting, and...

In the era of advancing digital transformation, the impact of the digital divide on residents' financial behavior has garnered considerable attention, yet there exists a gap in understanding its implications for financial advisors. Employing the analytical framework of "access gap-usage...

Previous literature finds that anomalies are at least as prevalent in developed markets as in emerging markets; namely, the global anomaly puzzle. We show that while market development and information diffusion are linearly related, information diffusion has a nonlinear impact on anomalies. This...