A hedge fund's capital structure is fragile because uninformed fund investors are highly loss sensitive and easily withdraw capital in response to bad news. Hedge fund managers, sharing common investors and interacting with each other through market price, sensitively react to other funds'...

This study comprehensively examines the economic and financial drivers of volatility changes in terms of a cross-country perspective. We exhaustively review a wide range of studies related to financial volatility forecasting and collect a diverse set of prediction variables. By analyzing them...

We apply the directed acyclic graph and spillover index models and find significant evidence of both implied volatility contagion and spillover. First, the global implied volatility smiles exhibit strong regional clustering. The European and American options markets form a separate contemporary...

This study analyzes the impact of a newly emerging type of anti-money laundering regulation that obligates cryptocurrency exchanges to report suspicious transactions to financial authorities. We build a theoretical model for the reporting decision structure of a private bank or cryptocurrency...