We consider spillovers between oil price volatility and key uncertainty indicators. Adding to existing studies, we extend the applicability of the spillover index beyond economic inference, by generating forecasts of oil price volatility. Findings suggest that spillover effects do not contain...

Crude oil is considered a key commodity in all the economies around the world. This study forecasts the oil volatility index (OVX), which is the market’s expectation of future oil volatility, by incorporating information from other asset classes. The literature does not extensively test the...

This paper provides empirical evidence that Croatian companies manage reported earnings to avoid losses and earnings declines. Specifically, we find that the cross-sectional distribution of scaled earnings and changes in earnings show high frequencies of small positive earnings and small...

This paper assesses the comparative impact of the 2007 global financial crisis on the short and long-term performance of initial public offerings (IPOs) in the Asian-Pacific emerging markets of Thailand, China, South Korea, and Malaysia. Our results indicate that the short-term performance or...

This paper provides empirical evidence that Croatian companies manage reported earnings to avoid losses and earnings declines. Specifically, we find that the cross-sectional distribution of scaled earnings and changes in earnings show high frequencies of small positive earnings and small...

The main objective of the paper is to test whether post-earnings announcement drift (PEAD) is a consequence of the presence of self-attribution bias in investors’ expectations, regarding permanent earnings. This is the first study to examine empirically this issue, in the sample of Athens...

Accurate and economically useful oil price forecasts have gained significant importance over the last decade. The majority of the studies use information from the oil market fundamentals to generate oil price forecasts. Nevertheless, the extant literature has convincingly shown that oil prices...

This paper investigates the time-varying conditional correlation between oil price and stock market volatility for six major oil-importing and oil-exporting countries. The period of the study runs from January 2000 until December 2014 and a Diag-BEKK model is employed. Our findings report the...

The paper investigates the ability of oil price returns, oil price shocks and oil price volatility to provide predictive information on the state (high/low risk environment) of the US stock market returns and volatility. The disaggregation of oil price shocks according to their origin allows us...

This paper investigates the time-varying correlation between the EU12-wide business cycle and the initial EU12 member-countries based on Scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980-2012. The paper provides evidence that changes in the business cycle...