Purpose: This paper examines the interrelatedness between countries' stock market development and competitiveness and the equity risk premium (hereinafter, ERP). In addition, this paper examines the length of time that stock market development takes to have an impact of ERP. The results offer an...

During the COVID-19 pandemic, many new individual investors globally entered the stock markets, often pursuing speculative investment strategies that resemble gambling. A concern is that trading as a form of gambling can become addictive for some people, as documented by several recent studies...

There is ample evidence that Islamic stock markets perform differently from conventional stock markets, particularly when economic policy uncertainty (EPU) or any other uncertainty such as geopolitical uncertainty is present. Considering this context, this paper examines the US EPU's...

The Halloween effect predicts that stock markets in the winter months (November through April) generate significantly higher returns than in the summer months (May through October). This paper examines the time-varying behavior of the Halloween effect within a new historical dataset that covers...

Emerging stock markets provide great opportunities for investment growth and risk diversification. However, they are more vulnerable to extreme market events. This study examines the effects of the COVID-19 pandemic on stock performance in sub-Saharan African stock markets. An event study method...

Investment managers are continuously looking for new technologies and better ideas to enhance their results of higher returns on investments in stock trading, and with the successes machine learning methods have been recording in other fields, it has been attracting the full attention of...

Investing in the Second-Industrial-Revolution firms at the beginning of the 20th century exposed investors to strong information asymmetries due to the novelty of these industries and the lack of legal rules on transparency and public accounting. We analysed the firms listed in Paris at the...

The great majority of empirical studies have focused on asset markets in the US and other developed economies. The purpose of this research is to determine to what extent the findings of other researchers in relation to the characteristics of asset volatility in developed economies applies also...

During the COVID-19 pandemic, technology stocks, such as FAANG stocks (Facebook, Amazon, Apple, Netflix, and Google), attracted the attention of global investors due to the vast use of technology in daily business. However, technology stocks are generally considered risky stocks; hence,...

The aim of this study was to determine whether referendums affect stock price risks and returns, using an event study approach. Daily end period data for the Swiss stock market index, the STOXX European market index, and the Swiss/US exchange rate running from the beginning of 2004 to June 2021,...

The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...

Applying the event study method to the daily returns of 382 listed firms, we show that the Turkey-Syria earthquake significantly affected the stock returns. The cumulative impact on all the sectors, except Basic Materials, has been negative. The cross-sectional examination negates the size...

The study applies the effective transfer entropy (ETE) and Renyi transfer entropy (RTE) to quantify the information flow between government bonds and equity market of G7 countries. The magnitude and direction of information flow between these two markets are dynamic across the state of the...

The rapid growth of BRICS has increasingly integrated their markets into the global economy. Thus, making their financial markets more vulnerable to external shocks such as global economic policy uncertainties. In this light, this study examines BRICS stock markets’ response to global economic...

We examine the impact of multidimensional stock market liquidity on business cycles that captures the key market liquidity characteristics. Using 10 different liquidity measures and 5 sub-dimensions, we find that the effect of liquidity on economic growth differs among liquidity sub-dimensions...

This study proposes a GARCH copula quantile regression model to capture the downside and upside tail dependence between oil price change and stock market returns at different risk levels. In the model, ten copulas are provided to measure the nonlinearity of the tail dependence with the marginal...

This applied research paper is written by Yinghua Fan (City University of Hong Kong), Guanhao Feng (City University of Hong Kong) and Dashan Huang (Singapore Management University).This paper exploits a unique scheme of the China Stock Connect for daily-level and stock-level holdings of...

We find that the changes to individual securities accounts, which denote an equity supply condition variable, is a new and effective equity market timing measure in China. This timing measure can avoid previous criticisms of timing measure for not being independent of firm characteristics of...

While research on cross-listed firms is abundant, little evidence is obtained for banks that are usually excluded from the research sample, especially for the ones from emerging markets. This paper examines the operating performance of Chinese banks surrounding the stock listing. The results...

The main purpose of this study is to empirically examine the relationship between uncertainty and idiosyncratic volatility of Nikkei 225 stocks. We conclude that there is a positive relationship between economic policy uncertainty and idiosyncratic volatility. Employing additional uncertainty...

This study investigates whether internet articles, such as blog or internet community posts, enhance investors’ ability to process uncertain news (i.e., rumors). Using the unique disclosure requirement in Korea, which verifies rumors by firms’ disclosures, we identify trading activities...

We investigate the time and frequency connectedness between geopolitical risk (GPR) and realized higher-order moments (i.e. volatility, skewness, and kurtosis) of equity markets of western countries that took economic actions against Russia after the start of the Russia-Ukraine war. Our findings...

Many developments on index for market sentiment from single to composite proxies and they are used as a moderating variable in the study of firm’s return or investors’ behaviour. The choice of sentiment proxy is generally made by experience and no formal statistical examination on variables...

Blockchain mania occurs in response to the quick rise of Bitcoin price in markets with cryptocurrencies circulation. However, Chinese government policies regarding the development of blockchain are inconsistent--block access to the offerings and exchanges of cryptocurrencies such as Bitcoins,...

In December 2021, the US Securities and Exchange Commission (SEC) passed amendments to the Foreign Company Accountability Act and finalized its implementation rules. Using an event study approach, this paper examines the impact of mandatory cross-border audit regulation on the stock returns of...

This monograph presents the foundations of the probabilistic theory of stock exchanges, built on the basis of probabilistic economic theory. Analytical and numerical methods of this theory are used for calculation of temporal dynamics of market prices and trade volumes of various assets on the...

Using high-frequency identification, we investigate leverage of the firm and economy-wide leverage as determinants of the sensitivity of a firm's stock price to monetary policy announcements. We show that the effect of economy-wide leverage is substantially larger than the effect of the firm's...

We analyze the relationship between insider trading density and the future stock returns in Chinese listed companies. We introduce a new aspect of the trading pattern, insider trading density, to investigate the information advantage held by insiders. Insiders who trade at a low density during...

We employ a structural vector autoregression (SVAR) model to analyze how macro disturbances on inflation, global supply chain, and industry production influence the U.S. stock market returns. We find stock market returns are significantly negatively related to the risk premium shock and monetary...

In this paper, we develop new latent risk measures that are designed as a prior synthesis of key forecasting information associated with financial market contagion. These measures are based on the decomposition (using high-frequency financial data) of the quadratic covariation between two assets...

This article examines the influence of IMF announcements as a source of news on currency and stock markets in the wake of the coronavirus pandemic. We use a set of IMF-related news for a sample of countries during the pandemic. Our central finding is that IMF news exerts a significant impact...

This study analyzes how the Korean stock market was affected by the high-intensity short-selling regulation policy. Market liquidity has increased without harming market dynamics, and the information efficiency was not hindered by the short-selling regulation. Stock price stability has also been...

This paper defines the A-share market carbon risk index, and empirically tests the impact of carbon risk on China’s stock returns. The research results show carbon risk is correlated negatively with excess returns on equities and has proven to be a systemic risk. Mechanism analysis shows that...

We propose a new clustering approach for comparing financial time series and employ it to study how the COVID-19 pandemic affected the U.S. stock market. Essentially, we compute the forecast accuracy of asymmetric GARCH models applied to S&P500 industries and use the model forecast errors for...

This study examines the contemporaneous return transmission mechanism across the G20 stock market returns employing a novel R2 connectedness framework which combines the network approach of Kenett et al. (2010, 2015) and the connectedness approach of Diebold and Yilmaz (2012, 2014). The employed...

This paper used multifractaldetrended fluctuation analysis to evaluate price efficiency dynamics and relate it to stock prices predictability in the Brazilian equity market. The main findings are: i) the presence of multifractality is confirmed before and after the COVID-19 pandemic, rejecting...

This study examines the relationship between the weather and intraday investor sentiment. Our results indicate that high temperatures, high humidity, high cloud coverage, and extreme rain negatively affect investors’ moods, whereas high winds and long sunshine durations improve their moods....