We investigate the impact of investor attention, proxied by Google search volume, on target abnormal returns and liquidity measures around M&A announcements. Investor attention slightly increases before and exhibits a sharp incline at the announcement date, with elevated levels of attention...

This paper studies the differences in stock market reaction to the same kind of disease-related news by analyzing abnormal returns of global stock markets during Public Health Risk Emergency of International Concern (PHEIC) announcements. Drawing the data from 26 stock market indices over the...

This paper investigates the prediction power of Economic Policy Uncertainty on three aspects of Bitcoin, particularly the return, volume, and volatility. We employed the Transfer Entropy model with two different regimes: (i) stationary and (ii) non-stationary assumption. We constructed different...

This paper focuses on determining the factors influencing investors' risk-taking through empirical evidence from Vietnam. This study investigates risk perception, expected return and herding behavior, and other determinants such as historical volatility and subjective financial risk attitude;...

This study analyses the aspect of inflation expectations management in the context of inflation targeting by particularly focusing on the impact of exchange rate pass-through to inflation expectations in a small open economy. We also augment the inflation expectations function with GDP,...

This paper contributes a shred of quantitative evidence to the embryonic literature as well as existing empirical evidence regarding spillover risks among cryptocurrency markets. By using VAR (Vector Autoregressive Model)-SVAR (Structural Vector Autoregressive Model) Granger causality and...

Green bonds are an innovative and rapidly growing fixed-income asset class that have significant potential in channelling funds towards climate and environmentally friendly investment projects, catalysing the transition to a more sustainable economy. This paper revisits the green bond premium...

Applying a GARCH-S analysis to a daily dataset of eight cryptocurrencies, along with seven equity market indices for advanced countries, and seven equity market indices for emerging economies, for June 2018–June 2021, we find that cryptocurrencies have higher probability of crash risk than...

Vietnam used to be lauded as the coronavirus fighting model since the pandemic began. Vietnam kept the virus at bay by imposing strictly localized lockdowns to deal with the emergence of a deadly new variant might. Using daily data for 63 provinces over the period from January 2021 to July 2021...

We evidence that cryptocurrencies possess a significantly higher probability of crash risk than equity indices, albeit such cryptocurrency market crashes are typically of shorter duration, while possessing an increased probability of acting a source of instability through which can pass through...