The agriculture sector observed the penetration of parametric weather risk financial products, including weather index insurance and weather derivatives, between the late 1990s and the early 2000s. However, the adoption of such products remains low. While the reasons for low adoption are...

This paper investigates whether Bitcoin acts as a diversifier, hedge or safe haven tool for investors in major developed and developing markets, as well as for commodities. This paper employs the GARCH Dynamic Conditional Correlation (DCC) model. The sample covers seven developed and six...

This study tests for calendar anomalies in returns for petroleum and petroleum products via the futures market, specifically, the day-of-the-week (DOW) effect. The energy future contracts in this study are the WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock for Oxygenate...

The study explores the nonlinear linkage between government expenditure and government revenue using quarterly data from the first quarter of 1965 to the second quarter of 2019. Linear models are first deployed to determine the order of integration of the variables, cointegration, granger...

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...

This article examines the impact of various sources of systematic liquidity risk and idiosyncratic liquidity risk on expected returns in the Indian stock market. The study tested the liquidity-adjusted capital asset pricing model (LCAPM) which is previously tested on developed markets....

Katharina Pistor proposed the Legal Theory of Finance (LTF), based on the premise that finance is legally constructed. In this paper, we apply network science to provide empirical evidence from global financial networks (GFN) to support the argument of the LFT. Using data from the World Bank and...

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...

The paper investigates the impact of an unconventional monetary policy of the U.S. on the institutional investor flows in India. We assess the relationship between institutional investor flows and market returns before, during and after the U.S. quantitative easing (QE) period. We find a...

This paper aims at contributing to the international portfolio investment decisions among the emerging BRICS countries where individual and institutional investors seek diversification benefits and to help in advocating policy changes and implementation as a response to the changing dynamics in...