We examine the linkages both within and between stock and foreign exchange (FX) markets via three higher moments of return distributions (volatility, skewness and kurtosis). We find FX market linkages (in the 2nd and 4th moments) are relatively more prominent in developed markets. Cross-asset...

We develop a framework that allows a multivariate system of long memory processes to be conditional on specific regimes to investigate the effects of credit rating agencies (CRAs)' sovereign credit re-ratings on European stock and currency return distributions via their first four realized...

We assess investors' reaction to new information arrivals in financial markets by examining the relationships between trading volume and the higher moments of returns in 18 international equity and currency markets. Our volume-volatility results support extant information theories and further...

Rational strategic planning has long been used as an instrument to improve financial performance. With the increasing complexity of the business environment, this positive impact has decreased. As a result, there have been several calls for more work focusing on investigating and understanding...