This paper examines the conditional time‐varying currency betas from five developed markets and four emerging markets. We employ a modified trivariate BEKK‐GARCH‐in‐mean model of Engle and Kroner (1995) to estimate the time‐varying conditional variance and covariance of returns of...

We construct a two-period Kyle model to investigate how a financial online influencer manipulates the stock market. Given that an online influencer usually has many loyal fans, he firstly places a random order in the market and transmits the order signal to his fans, and then engages in...

Recent European regulatory restrictions on dark trading induced an increase in sub-second frequent batch/periodic auctions (PA). We exploit this development to investigate the effects of PA on market quality. The restrictions are linked to an observable increase in PA and an economically...

This paper selects Chinese A-share listed manufacturing companies from 2011 to 2020 as a research sample and analyzes the impact of economic policy uncertainty on business performance. We find that economic policy uncertainty is detrimental to the improvement of business performance;service...

Administrative factors permeate the Chinese financial market. This study provides an insight into the emerging government-dominated IPO market. Using up-to-date data from 520 listed firms and 140 rejected IPO applicants in the Chinese stock market over 2006 to 2012, this study, based on prior...

This paper examines the distributional properties of cryptocurrency realized variation measures (RVM) and the predictability of RVM on future returns. We show the cryptocurrency volatility persistence and the importance of the asymmetry on volatility forecasting. Signed jumps variations...

The transport sector accounts for about a quarter of the world’s carbon emissions. Given the huge future growth of the carbon emissions of the transport sector and its tight links to socio-economic development, the introduction of new energy vehicles can not only reduce carbon emissions but...

Purpose Due to the rapid growth of digital economy, improving employees’ creativity is becoming essential to optimizing the development of organizations. This study investigates how enterprise social media can enhance employee creativity and develops an integrated model based on communication...