The study investigates the safe haven properties and sustainability of the top five cryptocurrencies (Bitcoin, Ethereum, Dash, Monero, and Ripple) and gold for BRICS stock markets during the COVID-19 crisis period from 31 January 2020 to 17 September 2020 in comparison to the precrisis period...

This paper investigates the impact of the COVID-19 pandemic on the volatility spillover and dependence structure among the major developed and emerging stock markets. The TVP-VAR connectedness decomposition approach and R-vine copula are implemented in this research. The results of the TVP-VAR...

Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selected developed and emerging markets between...

The present study conducts a dynamic conditional cross-correlation and time-frequency correlation analyses between cryptocurrency and equity markets in both advanced and emerging economies. The purpose of the study is twofold. First, the study investigates the presence of the pure (narrow) form...

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...

In this article, we revisit the Friday the 13th effect discussed by Kolb and Rodriguez (1987) that has received increased interest in recent research. Using a dummy-augmented GARCH model, we investigate whether the occurrence of this superstitious calendar day has significant impact on the...

Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM, Arbitrage Pricing Theory (APT), developed by Ross (1976), describes the expected returns on any financial asset with respect to macroeconomic factors. There are limited researches...

This study aims to investigate the market efficiency of emerging stock markets, namely the Mexico, Indonesia, Nigeria, and Turkey (MINT) stock markets based on the Fractal Market Hypothesis. For this purpose, the ARFIMA and ARFIMA-FIGARCH type models are used to analyze the MINT stock return...

The CEE stock markets are more and more integrated in the European financial markets. The growth of the integration of financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover among the stock markets in the countries from...