We study the stock market effects of the arrival of the three rounds of "stimulus checks" to U.S. taxpayers and the single round of direct payments to Hong Kong citizens. The first two rounds of U.S. checks appear to have increased retail buying and share prices of retail-dominated portfolios....

Purpose - The intervalling effect bias of beta refers to the sensitivity of beta estimation with respect to the reference time interval on which returns are measured and its manifestation may indicate the degree of market inefficiencies. The purpose of this paper is to study the intervalling...

We investigate the effect of economic crises on the direction of information flow and price discovery efficiency of spot and futures market by considering the near month Nifty50 index futures and its corresponding spot index. The period of study commences from January, 2004 to December, 2015 and...

We consider a gradient boosting decision trees (GBDT) approach to predict large S&P 500 price drops from a set of 150 technical, fundamental and macroeconomic features. We report an improved accuracy of GBDT over other machine learning (ML) methods on the S&P 500 futures prices. We show that...

Central banks have run during the crisis a wide set of monetary policy interventions using new instruments and techniques to restore the monetary stability and thus re-establish the stability of financial (and banking) systems. We analyze the effect of monetary policy interventions on stock...

This paper examines the dynamic linkages between the foreign exchange and stock markets for five East Asian countries, including Hong Kong, Japan, Malaysia, Singapore, and Thailand. While the literature suggests the existence of significant Interactions between the two markets, our empirical...