Using the GJR-GARCH method, this study examines the safe-haven role of gold, US dollar, and Bitcoin over a period including the global financial crisis, the COVID-19 pandemic and the Russia-Ukraine conflict from 3 April 2006 to 19 May 2023. The study supports the hypothesis that the safe-haven...

This study investigates how the Global Financial Crisis has affected the weak-form Efficient Market Hypothesis (EMH) on the stock prices of sixteen nations throughout the globe based on a suite of Fourier unit root tests. Considering the smooth structural breaks, we employed the Fourier-based...

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

This study investigates the asymmetric shock transmission mechanisms between seven large cryptocurrencies and crude oil at different market conditions across time. Wavelet technique was used to decompose the daily return series of the assets into wavelet scales to capture trading horizons. We...

The purpose of this study is to examine the role of options volatility and bid-ask spread as microstructural variables in determining whether the foreign exchange market’s price formation process in response to macroeconomic announcements is characterised by changes in risk perception and...

We examine the time-frequency lead-lag relationships and the degree of integration between the US financial stress index and global commodity prices (i.e., oil, gold, silver, and cocoa) with data covering over 47 decades (January 1975 to December 2021). For this purpose, we resort to the bi- and...