This study examines the impact of investor attention on portfolio volatility and sectoral risk spillovers in Borsa Istanbul. We use advanced econometric models, including E-GARCH-X, GJR-GARCH-X, and multivariate BEKK-GARCH-X, and analyze daily data from January 2004 to June 2024. We find that...

This study provides evidence from a questionnaire survey of fund managers. We find that the majority of respondents rely on momentum, contrarian and buy-&-hold strategies to some degree. Although there were few applicants who exclusively rely on a single trading strategy, clear preferences...

This paper examines the puzzlingly high unexploited momentum returns from a new perspective. We analyze characteristics of momentum traders in a sample of 692 fund managers. We find that momentum traders are 'defined' by their short-term horizon, by a behavioural view on the market and by a...

Social interaction and information transmission are essential components of pricing and trading in financial markets. To investigate the behavior contagion and information cascades among investors and sectors, we deploy a jump-diffusion process on investor sentiment -- a novel dataset from...

We investigate the effect of Environmental, Social, and Governance (ESG) related news sentiment on the stock market performance of the Dow Jones Industrial Average (DJIA) constituents. Relying on a large data set of news articles that were published online or in print media between the years of...

Should long-term investors account for time-variation in model parameters? We develop a time-varying Vector Autoregressive model that can handle time-variation in intercepts, slopes, volatility and correlation, the leverage effect in volatility and fat tails. Long-term investors should take...

In this study, we examine the critical question of whether global equity and bond assets (both green and non-green) offer effective hedging and safe haven properties against stock market risks in South Asia, with a focus on Bangladesh, India, Pakistan, and Sri Lanka. The increasing integration...

We propose a new framework for modeling and forecasting common financial risks based on (un)reliable realized covariance measures constructed from high-frequency intraday data. Our new approach explicitly incorporates the effect of measurement errors and time-varying attenuation biases into the...

Targeting volatility has become very popular in the markets because it reduces the tail risk. However, during a market downturn, the target and realized volatility might differ significantly, leading to worse than expected portfolio performance. This paper examines the efficiency of a...