Stock market movements are the results of changes in investor sentiment (INSEN) which can even be induced by non-economic events. We consider international cricket events to empirically investigate the notions. Implementing portfolio approach, we conduct the event study along with OLS regression...

The recent outbreak of global COVID-19 infections has already accounted for thousands of deaths, sealed many businesses, and urged millions of people to be unemployed, pushing the global financial markets to the edge of another gigantic crisis. This study employs cross-correlation-based absolute...

This paper adopts the tail-event driven network (TENET) framework to explore the connectedness and systemic risk of the banking industry along the Belt and Road (B&R) based on weekly returns of 377 publicly-listed banks from 2014 to 2019. We conduct the connectedness analysis from four levels...

We study the speed of convergence to market efficiency by examining the short-term return predictability using the high-frequency data of Chinese stocks. The empirical results reveal that it takes more than 30 minutes but less than 60 minutes for these stocks to accommodate the price pressures...

We construct correlation-based networks linking 86 assets (stock indices, bond indices, foreign exchange rates, commodity futures, and cryptocurrencies) and analyze the impact of asset selection on portfolio optimization using different centrality measures (including degree, eigenvector,...