Purpose - The purpose of this paper is to examine the effect of economic policy uncertainty (EPU) of China on investment opportunities in five ASEAN economies. Design/methodology/approach - This paper employs advanced empirical approaches, such as Multivariate DCC-GARCH and Continuous Wavelet...

We examine the risk minimization utility of Islamic stock and Sukuk (bond) indices by studying their linkages against traditional global counterparts. We first employ an asymmetric power ARCH-based ADCC model on an extended dataset employed by Kenourgios et al. (2016). Our sample ranges from...

This paper examines whether a higher proportion of co-opted board members following a CEO’s accession translates to greater climate change-related risk for the firm. Investigating 12,101 US-based firm-year observations from 2002-2014, we discover that firms with a higher level of co-opted...

Till date, empirical works on the utility of social media sentiments in predicting financial market outcomes have yielded mixed results. This paper contributes to this discourse by providing new insights into the limited salience of uncertainty sentiments on Twitter for a broad range of...

We examine the volatility dynamics and predictive potency of Twitter-based uncertainty metrics by [1] against major financial assets. Employing a latent factor structure model driven by stochastic volatility in high dimensions, we document a lack of co-movement between uncertainty sentiment on...

We contribute to financial literature by identifying economic uncertainties salient to the price dynamics of cryptocurrencies. To measure this relationship, we examine the common stochastic trends between cryptocurrencies and major text-based uncertainty indices — categorical and broad —...

This paper reports findings on multiple important phenomena in capital flow literature: internal and external shock transmission to foreign direct investment and foreign portfolio investment. Operating on Turkey as a case study, I disaggregate quarterly gross capital inflows (FDI and FPI) and...