This study contributes to the debate on safe-haven characteristics of environmental, social, and governance (ESG) stocks during COVID-19 pandemic. Using wavelet coherence framework on four major ESG stock indices from global and emerging stock markets, and two proxies of COVID-19 fear over the...

Using panel smooth transition regression framework on a new proxy of business cycle (BC) index and quarterly data of US bank holding companies from 1993Q1 to 2020Q1, our results provide the empirical support to the theory that BC has non-linear effect on liquidity creation. We find a positive...

Using daily data of COVID-19 fear index and stock indices of 29 European countries over the period from January 1, 2020 to September 17, 2020, this study finds no evidence of adverse impact of COVID-19 outbreak on European stock markets at the level of full sample nor at European sub-regional...

Using daily data of COVID-19 fear index and stock indices of 29 European countries over the period from January 1, 2020 to September 17, 2020, this study finds no evidence of adverse impact of COVID-19 outbreak on European stock markets at the level of full sample nor at European sub-regional...

Using annual panel data of 126 developing countries over the period from 1970 to 2016, this study investigates effects of remitted funds' volatility and consumption on financial development. Our results, after controlling for endogeneity, document a significant adverse impact of remittances'...

This study aims to investigate the cyclicality of capital adequacy ratios (CARs) in US bank holding companies using a new business cycle index and a non-linear panel smooth transition regression model. The suggested index can predict US business activity with a higher accuracy than existing...

Using the daily data covering both the first and second wave of COVID-19 pandemic over the period from March 3, 2020, to February 12, 2021, this study documents a strong positive comovement between implied volatility indices and two proxies of the COVID-19 fear. However, in all the cases, the...

We use wavelet coherence analysis on global COVID-19 fear index and soft commodities spot and futures prices to investigate safe-haven properties of soft commodities during the period of novel Corona virus pandemic. The results show that staple food soft commodities (wheat, corn, and cocoa) and...

We use wavelet coherence analysis on global COVID-19 fear index, cryptocurrency market specific implied volatility index (VCRIX) and cryptocurrency returns to investigate safe-haven properties of cryptocurrencies during COVID-19 pandemic. The findings of our paper show that a non-financial...